Form N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act File Number: 811-04015
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EATON VANCE FLOATING-RATE HIGH INCOME FUND
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(Exact Name of Registrant as Specified in Charter)
The Eaton Vance Building, 255 State Street, Boston, Massachusetts 02109
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(Address of Principal Executive Offices)
Alan R. Dynner
The Eaton Vance Building, 255 State Street, Boston, Massachusetts 02109
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(Name and Address of Agent for Services)
(617) 482-8260
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(Registrant's Telephone Number)
OCTOBER 31
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Date of Fiscal Year End
OCTOBER 31, 2003
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Date of Reporting Period
ITEM 1. REPORTS TO STOCKHOLDERS
[logo]
EATON VANCE
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Managed Investments
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Annual Report October 31, 2003
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EATON VANCE
FLOATING-RATE
HIGH INCOME
FUND
EATON VANCE FUNDS
EATON VANCE MANAGEMENT
BOSTON MANAGEMENT AND RESEARCH
EATON VANCE DISTRIBUTORS, INC.
PRIVACY NOTICE
The Eaton Vance organization is committed to ensuring your financial privacy.
This notice is being sent to comply with privacy regulations of the Securities
and Exchange Commission. Each of the above financial institutions has in effect
the following policy with respect to nonpublic personal information about its
customers:
o Only such information received from you, through application forms or
otherwise, and information about your Eaton Vance fund transactions will be
collected.
o None of such information about you (or former customers) will be disclosed
to anyone, except as permitted by law (which includes disclosure to
employees necessary to service your account).
o Policies and procedures (including physical, electronic and procedural
safeguards) are in place that are designed to protect the confidentiality of
such information.
For more information about Eaton Vance's privacy policies, call: 1-800-262-1122.
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IMPORTANT NOTICE
REGARDING DELIVERY OF
SHAREHOLDER DOCUMENTS
The Securities and Exchange Commission (SEC) permits funds to deliver only one
copy of shareholder documents, including prospectuses, proxy statements and
shareholder reports, to fund investors with multiple accounts at the same
residential or post office box address. This practice is often called
"householding" and it helps eliminate duplicate mailings to shareholders.
EATON VANCE, OR YOUR FINANCIAL ADVISER, MAY HOUSEHOLD THE MAILING OF YOUR
DOCUMENTS INDEFINITELY UNLESS YOU INSTRUCT EATON VANCE, OR YOUR FINANCIAL
ADVISER, OTHERWISE.
If you would prefer that your Eaton Vance documents not be householded, please
contact Eaton Vance at 1-800-262-1122, or contact your financial adviser.
Your instructions that householding not apply to delivery of your Eaton Vance
documents will be effective within 30 days of receipt by Eaton Vance or your
financial adviser.
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From time to time, funds are required to vote proxies related to the securities
held by the funds. The Eaton Vance Funds or their underlying Portfolios vote
proxies according to a set of policies and procedures approved by the Funds' and
Portfolios' Boards. You may obtain a description of these policies and
procedures without charge, upon request, by calling 1-800-262-1122. This
description is also available on the Securities and Exchange Commission's
website at http://www.sec.gov.
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Eaton Vance Floating-Rate High Income Fund as of October 31, 2003
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LETTER TO SHAREHOLDERS
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[Photo of Thomas E Faust Jr.]
Thomas E. Faust Jr.
President
Eaton Vance Floating-Rate High Income Fund's Class A shares had a net asset
value per share of $10.22 as of October 31, 2003, and dividends for the period
from inception on May 7, 2003 through October 31, 2003 were $0.200. The
distribution rate on October 31, 2003, was 3.82%(1) and the SEC 30-day yield for
Class A shares was 3.82%.(2)
The Fund's Class B shares had a net asset value per share of $9.60 as of October
31, 2003, and dividends for the year ending as of the same date were $0.353. The
distribution rate on October 31, 2003, was 3.07%(1) and the SEC 30-day yield for
Class B shares was 3.07%.(2)
The Fund's Class C shares had a net asset value per share of $9.60 as of October
31, 2003, and dividends for the year ending as of the same date were $0.353. The
distribution rate on October 31, 2003, was 3.08%(1) and the SEC 30-day yield for
Class C shares was 3.08%.(2)
The Fund's Institutional Class shares had a net asset value per share of $9.61
as of October 31, 2003, and dividends for the year ending as of the same date
were $0.448. The distribution rate on October 31, 2003, was 4.07%(1) and the SEC
30-day yield for Institutional shares was 4.07%.(2)
The Fund's Advisers Class shares had a net asset value per share of $9.61 as of
October 31, 2003, and dividends for the year ending as of the same date were
$0.423. The distribution rate on October 31, 2002, was 3.82%(1) and the SEC
30-day yield for Advisers Class shares was 3.82%.(2)
THE LOAN MARKET HAS REBOUNDED IN
2003, REFLECTING A STRONGER ECONOMY
AND IMPROVED CREDIT CONDITIONS...
The year ended October 31, 2003 brought a strong recovery in the U.S. economy, a
trend that was reflected in improving credit conditions and solid loan market
performance. Loan returns exceeded those of last year, when the Federal Reserve
was in the midst of a series of interest rate cuts. Stronger economic growth,
combined with productivity gains and a greater cost-consciousness, have
contributed to improving credit conditions for many corporate borrowers.
Importantly, the Fund's volatility remained well below that of many other asset
classes. That is especially important for those investors for whom preservation
of capital is a key consideration. Moreover, we believe that an improving
economy should provide better prospects for the loan market and high-yield bond
market in the coming year. Eaton Vance Floating-Rate High Income Fund will
continue to offer conservative investors a unique way to participate in a
stronger economy, while providing a hedge against rising rates. In the following
pages, co-portfolio managers Scott Page and Payson Swaffield review developments
in the loan market and the Fund during the past year.
Sincerely,
/s/ Thomas E. Faust Jr.
Thomas E. Faust Jr.
President
December 10, 2003
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Fund Information
as of October 31, 2003
Performance(3)
Institutional Advisers
Class A Class B Class C Class Class
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Average Annual Total Returns (at net asset value)
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One year N/A 9.05% 9.06% 10.14% 9.98%
Life of Fund+ 4.23 3.85 3.86 4.75 4.55
SEC Average Annual Total Returns (including sales charge or applicable CDSC)
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One year N/A 4.05% 8.06% 10.14% 9.98%
Life of Fund+ 1.89 3.00 3.86 4.75 4.55
+ Inception Dates - Class A: 5/7/03; Class B: 9/5/00; Class C: 9/5/00;
Institutional Class: 9/15/00; Advisers Class: 9/7/00
(1) The Fund's distribution rate represents actual distributions paid to
shareholders and is calculated daily by dividing the last distribution per
share (annualized) by the net asset value.
(2) The Fund's SEC yield is calculated by dividing the net investment income per
share for the 30-day period by the offering price at the end of the period
and annualizing the result.
(3) Returns are historical and are calculated by determining the percentage
change in net asset value with all distributions reinvested. SEC returns for
Class A reflect the maximum 2.25% sales charge. SEC returns for Class B
reflect applicable CDSC based on the following schedule: 5% - 1st and 2nd
years; 4% - 3rd year; 3% - 4th year;2% - 5th year; 1% - 6th year. SEC 1-Year
return for Class C reflects a 1% CDSC. Advisers Class and Institutional
shares generally have no sales charge. Class A, Advisers Class and
Institutional Class shares redeemed within 3 months of purchase, including
exchanges, are subject to a 1% redemption fee, which is not reflected in
this return.
Past performance is no guarantee of future results. Investment return and
principal value will fluctuate so that shares, when redeemed, may be worth
more or less than their original cost.
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Mutual fund shares are not insured by the FDIC and are not deposits or other
obligations of, or guaranteed by, any depository institution. Shares are subject
to investment risks, including possible loss of principal invested. Yield will
vary.
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Eaton Vance Floating-Rate High Income Fund as of October 31, 2003
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MANAGEMENT DISCUSSION
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[Photo of Scott H. Page]
Scott H. Page
[Photo of Payson F. Swaffield]
Payson F. Swaffield
An interview with Scott H. Page and Payson F. Swaffield, co-portfolio managers
of Floating Rate Portfolio.
Q: SCOTT, HOW WOULD YOU DESCRIBE THE LOAN MARKET DURING THE PAST YEAR?
A: MR. PAGE: The loan market has benefited from a stronger economy.
Long-beleaguered industrial and technology companies have begun - at last -
to see an increase in orders in response to a renewal of capital spending.
In addition, companies that cut costs and restructured their debt during the
economic slowdown are now beginning to see the benefits of those moves, as
business activity gathers steam. Finally, consumer and investor confidence
has increased, as corporate governance issues are being addressed by
regulators and businesses alike. Together, these trends have contributed to
a better credit climate and a stronger loan market.
While interest rates have remained near cyclical lows, there are signs that
the stronger economy and rising commodity prices could push inflation rates
higher in the coming year. That could prompt action on the part of the
Federal Reserve to push short-term rates higher, a favorable event for the
loan market.
Q: PAYSON, HOW WOULD YOU CHARACTERIZE THE FUND'S PERFORMANCE IN THIS
ENVIRONMENT?
A: MR. SWAFFIELD: The Fund posted a solidly positive total return in the fiscal
year ended October 31, 2003. In a low interest rate environment, the Fund
outperformed most short-term investment vehicles. The Fund underperformed
its benchmark, the CSFB Leveraged Loan Index(1). That underperformance was
the result of a lower exposure to the telecom and technology areas, which
staged a recovery after having performed very poorly in previous years.
While the inclusion of these sectors might provide a short-term boost, we
believe they represent an added risk if the markets were to meet a reversal.
Interestingly, the Fund outperformed the Index in fiscal year 2002 for the
same reason: its underexposure to the volatile telecom and technology
sectors.
It's important to note that the Fund's performance has historically been
significantly less volatile than the Index, due in part to our strict credit
standards. The Fund has generally outperformed during economic downturns. We
believe that reduced volatility is an important consideration for many
investors, given the wide fluctuations within the economy and the financial
markets in recent years. Therefore, the Fund again performed well within our
expectations.
Q: HOW HAVE YOU POSITIONED THE PORTFOLIO IN RECENT MONTHS?
A: MR. PAGE: We continued our efforts at diversification across industry
sectors. The Portfolio had an exposure to the expanding economy - such as
publishing and printing, packaging and auto components - as well as to
non-GDP-sensitive areas - such as health care and foods. The Portfolio
included 296 borrowers across 48 industries, with no sector larger than 6%
of the Portfolio. From a sector standpoint, printing and publishing was the
Portfolio's largest weighting, followed by health care providers, auto
components, food, beverages and tobacco and cable television.
During the period, we maintained our conservative investment criteria,
demanding what we believe to be good collateral and adequate cash flow.
Adhering to strict credit standards has served the Portfolio well in both
strong and weak economic scenarios.
Q: HOW DID THE LOAN MARKET FARE RELATIVE TO HIGH-GRADE BONDS DURING THE PAST
YEAR?
A: MR. SWAFFIELD: The loan market outperformed the high-grade bond market - as
measured by the Lehman Aggregate Bond Index(1) - during the past year,
primarily due to higher market prices for loans causing net asset value
appreciation, which reflected steadily improving credit conditions.
Moreover, such relatively favorable performance came despite no increase in
LIBOR, the London-Interbank Offered Rate, which is the base rate for
floating-rate loans. An increase in LIBOR, which typically moves with the
Federal Funds rate, would generally benefit loans, while hurting bonds.
And, as the economy has strengthened, the prospect of a hike in interest
rates has increased. To date, the Fed has maintained its accommodative
monetary policy, having lowered its benchmark Federal Funds rate to 1.00% in
June. However, with commodity prices rising and spending by consumers and
businesses alike starting to pick up steam, the Fed could well raise rates
the moment it detects an overheating of the economy. Accordingly, we believe
that the risk profile of bonds has increased.
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(1) The Lehman Aggregate Bond Index is made up of the Lehman Brothers
Government/Corporate Bond Index, Mortgage-Backed Securities Index and
Asset-Backed Securities Index, including securities that are of investment-grade
quality or better, have at least one year to maturity and have an outstanding
par value of at least $100 million. It is not possible to invest directly in an
index.
Q: HOW DOES THE LOAN MARKET VIEW THE PROSPECT OF HIGHER RATES?
A: MR. PAGE: Floating rate loans are unique in that they reward investors in a
rising rate environment. Loans have reset provisions, which means they can
be adjusted periodically in response to changes in the underlying rate
environment. Generally, loan interest rates are reset every 50-70 days to
reflect movements in LIBOR.
At October 31, 2003, the Portfolio had a days-to-reset average of 57 days.
That gives us the flexibility of being able to adjust fairly rapidly to
changing interest rates. In a rising rate climate, that represents a major
advantage over fixed-rate bonds. While loan returns increase as rates rise,
bond returns tend to decrease.
Q: YOU INDICATED THAT THE PORTFOLIO HAD AN EXPOSURE TO THE GROWING ECONOMY.
COULD YOU EXPAND ON THAT THEME?
A: MR. SWAFFIELD: Yes. Among its largest holdings, the Portfolio had
investments in companies that we believe are likely to be direct
beneficiaries of an economic recovery. Publishing and printing was one such
sector. With an uptrend in the economy, companies typically increase their
advertising budgets. The Portfolio had investments in publishers of
newspapers and trade magazines, which not only held up well during the
recession but have historically enjoyed stronger revenue growth in improving
economies. The Portfolio also had an investment in the publisher of a
"yellow pages" directory, sold by its previous owner, a regional Bell
operating company. These directories are generally considered attractive for
their stable and predictable cash flows, largely due to their dependence on
local and small business advertising.
Another economically-sensitive area was in packaging. As companies ship
more products, there is rising demand for containerboard and other
packaging materials. The Portfolio's largest investment - the product of a
2003 merger between two packaging companies - produces containerboard used
as packaging for diverse products. The merger is expected to produce
economies of scale, significant cost savings and an increased market share
for the combined company.
Q: WHERE DID THE PORTFOLIO INVEST IN NON- GDP-SENSITIVE SECTORS?
A: MR. PAGE: The Portfolio had investments in sectors such as health care and
satellite television, areas where growth is generally less dependent on the
fluctuations in the economy. In the health care sector, the Portfolio had an
investment in an operator of dialysis centers for kidney patients. The
company operates 515 centers, as well as in-patient facilities and
post-operative in-home therapy. The company has benefited from a rising
number of procedures and a higher fee schedule.
In the satellite television area, the Portfolio owned one of the nation's
leading operators of satellite broadcasting services. The company registered
20% revenue growth in 2003, driven by strong subscriber growth and an
impressive increase in per-subscriber revenues. The company's all digital
programming has been a success with consumers.
Q: WERE THERE ANY SECTORS WHOSE PERFORMANCE IMPEDED THE FUND'S PERFORMANCE?
A: MR. SWAFFIELD: There were no sectors that specifically hurt the Fund's
performance. However, as I indicated previously, the Fund underperformed its
benchmark during the year due to its underweighting in the technology and
telecom sectors. Those sectors declined sharply during last year's market
decline and, not surprisingly, rebounded more dramatically than the broad
market as the economy has recovered in 2003.
Q: HOW DID THE HIGH-YIELD BOND PORTION OF THE FUND'S INVESTMENTS PERFORM?
A: MR. SWAFFIELD: The Fund's high-yield investments - held through its
investment in High Income Portfolio, which is managed by Eaton Vance's
high-yield bond team - performed well. The stronger economy, better
corporate profits and tax cuts provided a lift for the high-yield market in
the second half of 2003. The high-yield market also was helped by the fact
that many of the governance issues that have hurt investor confidence are
finally being addressed. Finally, high-yield default rates have declined
significantly, reflecting the improved credit conditions.
Five Largest Sector Weightings(2)
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By total net assets
Publishing & Printing 5.9%
Health Care - Providers 5.5%
Auto Components 4.1%
Food, Beferage & Tobacco 4.0%
Cable Television 3.9%
Portfolio Overview(2)
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Total net assets $2.22 billion
Number of borrowers 296
Industries represented 48
Days-to-interest rate reset 57 days
Average size per borrowing $6.06 million
As % of total net assets 0.27%
Ten Largest Holdings(2) By total net assets
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Graphic Packaging International, Inc. 1.1%
Allied Waste Industries, Inc. 1.0
Dex Media West, LLC 1.0
DirectTV Holdings, LLC 0.9
Rite Aid Corp. 0.9
Qwest Corp. 0.9
SPX Corp. 0.9
TRW Automotive Holdings Corp. 0.9
Owens-Illinois, Inc. 0.8
Davita, Inc. (FKA Total Renal Care) 0.8
(1) It is not possible to invest directly in an index.
(2) Five Largest Sector Weightings account for 23.4% of the Portfolio's
investments, determined by dividing the total market value of the holdings
by the total net assets of the Portfolio. Five Largest Sector Weightings,
Portfolio Overview and Ten Largest Holdings are as of 10/31/03 and are
subject to change. Ten Largest Holdings account for 9.2% of the Portfolio's
investments, determined by dividing the total market value of the holdings
by the total net assets of the Portfolio. Holdings are subject to change.
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The views expressed in this report are those of the portfolio managers and are
current only through the end of the period of the report as stated on the cover.
These views are subject to change at any time based upon market or other
conditions, and Eaton Vance disclaims any responsibility to update such views.
These views may not be relied on as investment advice and, because investment
decisions for an Eaton Vance fund are based on many factors, may not be relied
on as an indication of trading intent on behalf of any Eaton Vance fund.
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Eaton Vance Floating-Rate High Income Fund as of October 31, 2003
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PERFORMANCE
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Comparison of Change in Value of a $10,000 Investment in Eaton Vance
Floating-Rate High Income Fund Class B vs. the CSFB Leveraged Loan Index*
September 30, 2000 - October 31, 2003
+This figure reflects Class B share's maximum applicable contingent deferred
sales charge deducted at redemption as follows: 5% - 1st and 2nd years; 4%
- 3rd year; 3% - 4th year; 2% - 5th year; and 1% - 6th year.
Eaton Vance Floating-Rate High Income Fund - Class B
Inception: 9/5/00
Fund Fund CSFB
Value at Value With Leveraged Loan
Date NAV Sales Charge Index
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9/30/2000 10,000 10,000 10,000
10/31/2000 10,095 10,095 10,005
11/30/2000 10,114 10,114 10,027
12/31/2000 10,197 10,197 10,097
1/31/2001 10,374 10,374 10,158
2/28/2001 10,427 10,427 10,246
3/31/2001 10,410 10,410 10,258
4/30/2001 10,415 10,415 10,215
5/31/2001 10,493 10,493 10,337
6/30/2001 10,437 10,437 10,350
7/31/2001 10,475 10,475 10,376
8/31/2001 10,511 10,511 10,459
9/30/2001 10,340 10,340 10,259
10/31/2001 10,383 10,383 10,099
11/30/2001 10,476 10,476 10,258
12/31/2001 10,526 10,526 10,364
1/31/2002 10,550 10,550 10,421
2/28/2002 10,516 10,516 10,381
3/31/2002 10,584 10,584 10,502
4/30/2002 10,632 10,632 10,614
5/31/2002 10,635 10,635 10,607
6/30/2002 10,538 10,538 10,447
7/31/2002 10,466 10,466 10,289
8/31/2002 10,461 10,461 10,259
9/30/2002 10,455 10,455 10,281
10/31/2002 10,370 10,370 10,143
11/30/2002 10,486 10,486 10,318
12/31/2002 10,557 10,557 10,480
1/31/2003 10,627 10,627 10,622
2/28/2003 10,670 10,670 10,677
3/31/2003 10,718 10,718 10,711
4/30/2003 10,871 10,871 10,862
5/31/2003 10,941 10,941 11,008
6/30/2003 11,070 11,070 11,164
7/31/2003 11,116 11,116 11,240
8/31/2003 11,145 11,145 11,264
9/30/2003 11,232 11,232 11,377
10/31/2003 11,308 11,308 11,479
Less 3% 289
10/31/2003 11,019
Comparison of Change in Value of a $10,000 Investment in Eaton Vance
Floating-Rate High Income Fund Class C vs. the CSFB Leveraged Loan Index*
September 30, 2000 - October 31, 2003
Eaton Vance Floating-Rate High Income Fund- Class C
Inception: 9/5/00
Fund Fund CSFB
Value at Value With Leveraged Loan
Date NAV Sales Charge Index
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9/30/2000 10,000 N/A 10,000
10/31/2000 10,097 10,005
11/30/2000 10,117 10,027
12/31/2000 10,200 10,097
1/31/2001 10,366 10,158
2/28/2001 10,419 10,246
3/31/2001 10,401 10,258
4/30/2001 10,418 10,215
5/31/2001 10,485 10,337
6/30/2001 10,440 10,350
7/31/2001 10,467 10,376
8/31/2001 10,503 10,459
9/30/2001 10,343 10,259
10/31/2001 10,375 10,099
11/30/2001 10,478 10,258
12/31/2001 10,528 10,364
1/31/2002 10,553 10,421
2/28/2002 10,519 10,381
3/31/2002 10,587 10,502
4/30/2002 10,634 10,614
5/31/2002 10,637 10,607
6/30/2002 10,541 10,447
7/31/2002 10,468 10,289
8/31/2002 10,464 10,259
9/30/2002 10,457 10,281
10/31/2002 10,372 10,143
11/30/2002 10,488 10,318
12/31/2002 10,559 10,480
1/31/2003 10,630 10,622
2/28/2003 10,673 10,677
3/31/2003 10,720 10,711
4/30/2003 10,873 10,862
5/31/2003 10,932 11,008
6/30/2003 11,073 11,164
7/31/2003 11,107 11,240
8/31/2003 11,148 11,264
9/30/2003 11,223 11,377
10/31/2003 11,311 11,479
Performance**
Institutional Advisers
Class A Class B Class C Class Class
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Average Annual Total Returns (at net asset value)
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One year N/A 9.05% 9.06% 10.14% 9.98%
Life of Fund+ 4.23 3.85 3.86 4.75 4.55
SEC Average Annual Total Returns (including sales charge or applicable CDSC)
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One year N/A 4.05% 8.06% 10.14% 9.98%
Life of Fund+ 1.89 3.00 3.86 4.75 4.55
+ Inception Dates - Class A: 5/7/03; Class B: 9/5/00; Class C: 9/5/00;
Institutional Class: 9/15/00; Advisers Class: 9/7/00
* Sources: Thomson Financial; Credit Suisse First Boston, Inc. The chart
compares the Fund's total return with that of the CSFB Leveraged Loan Index
- a representative index of tradable, senior, secured, U.S.
dollar-denominated leveraged loans. Returns are calculated by determining
the percentage change in net asset value (NAV) with all distributions
reinvested. The lines on the chart represent the total returns of $10,000
hypothetical investments in the Fund and the CSFB Leveraged Loan Index.The
Index's total return does not reflect commissions or expenses that would
have been incurred if an investor individually purchased or sold the
securities represented in the Index. It is not possible to invest directly
in an Index. An investment in the Fund's Class A shares on 5/7/03 at net
asset value would have been worth $10,397 on October 31, 2003; $10,163,
including sales charge. An investment in the Fund's Adviser Class shares on
9/7/00 at net asset value would have been worth $11,503 on October 31, 2003.
An investment in the Fund's Institutional Class shares on 9/15/00 at net
asset value would have been worth $11,562 on October 31, 2003. The graph and
performance table do not reflect the deduction of taxes that a shareholder
would pay on Fund distributions or the redemption of Fund shares.
** Returns are calculated by determining the percentage change in net asset
value (NAV) with all distributions reinvested. SEC returns for Class A
reflect the maximum 2.25% sales charge. SEC returns for Class B reflect
applicable CDSC based on the following schedule: 5% - 1st and 2nd years; 4%
- 3rd year; 3% - 4th year; 2% - 5th year; 1% - 6th year. SEC 1-Year return
for Class C reflects a 1% CDSC.
Past performance is no guarantee of future results. Investment return and
principal value will fluctuate so that shares, when redeemed, may be worth
more or less than their original cost.
Eaton Vance Floating-Rate High Income Fund as of October 31, 2003
FINANCIAL STATEMENTS
Statement of Assets and Liabilities
As of October 31, 2003
Assets
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Investment in Floating Rate Portfolio, at value (identified
cost, $484,790,019) $484,083,577
Investment in High Income Portfolio, at value (identified
cost, $84,433,048) 86,530,363
Receivable for Fund shares sold 7,066,687
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Total assets $577,680,627
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Liabilities
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Payable for Fund shares redeemed $ 1,446,607
Dividends payable 447,173
Payable to affiliate for distribution and service fees 121,736
Payable to affiliate for Trustees' fees 330
Accrued expenses 171,619
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Total liabilities $ 2,187,465
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Net Assets $575,493,162
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Sources of Net Assets
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Paid-in capital $600,548,491
Accumulated net realized loss from Portfolio (computed on the
basis of identified cost) (26,327,313)
Accumulated distributions in excess of net investment income (118,889)
Net unrealized appreciation from Portfolios (computed on the
basis of identified cost) 1,390,873
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Total $575,493,162
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Advisers Shares
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Net Assets $ 68,257,526
Shares Outstanding 7,104,822
Net Asset Value, Offering Price and Redemption Price Per Share
(net assets / shares of beneficial interest outstanding) $ 9.61
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Class A Shares
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Net Assets $ 39,127,560
Shares Outstanding 3,830,378
Net Asset Value and Redemption Price Per Share
(net assets / shares of beneficial interest outstanding) $ 10.22
Maximum Offering Price Per Share (100 / 97.75 of $10.22) $ 10.46
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Class B Shares
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Net Assets $161,456,573
Shares Outstanding 16,811,327
Net Asset Value, Offering Price and Redemption Price Per Share
(net assets / shares of beneficial interest outstanding) $ 9.60
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Class C Shares
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Net Assets $303,296,738
Shares Outstanding 31,586,479
Net Asset Value, Offering Price and Redemption Price Per Share
(net assets / shares of beneficial interest outstanding) $ 9.60
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Institutional Shares
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Net Assets $ 3,354,765
Shares Outstanding 349,008
Net Asset Value, Offering Price and Redemption Price Per Share
(net assets / shares of beneficial interest outstanding) $ 9.61
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On sales of $100,000 or more, the offering price of Class A shares is reduced.
See notes to financial statements
Eaton Vance Floating-Rate High Income Fund as of October 31, 2003
FINANCIAL STATEMENTS
Statement of Operations
For the Year Ended
October 31, 2003
Investment Income
- --------------------------------------------------------------------------------
Interest allocated from Portfolios $26,428,119
Dividends allocated from Portfolio 151,008
Miscellaneous income allocated from Portfolios 60,475
Expenses allocated from Portfolios (2,953,012)
- --------------------------------------------------------------------------------
Net investment income from Portfolios $23,686,590
- --------------------------------------------------------------------------------
Expenses
- --------------------------------------------------------------------------------
Administration fee $ 720,014
Trustees' fees and expenses 3,138
Distribution and service fees
Advisers 91,827
Class A 17,333
Class B 1,571,608
Class C 2,772,876
Transfer and dividend disbursing agent fees 400,825
Registration fees 40,943
Custodian fee 25,611
Printing and postage 21,024
Legal and accounting services 17,701
Miscellaneous 5,586
- --------------------------------------------------------------------------------
Total expenses $ 5,688,486
- --------------------------------------------------------------------------------
Net investment income $17,998,104
- --------------------------------------------------------------------------------
Realized and Unrealized Gain (Loss) from Portfolios
- --------------------------------------------------------------------------------
Net realized gain (loss) --
Investment transactions (identified cost basis) $(2,402,110)
Interest rate swap contracts (424,208)
Foreign currency and forward foreign currency exchange contract
transactions (80,426)
- --------------------------------------------------------------------------------
Net realized loss $(2,906,744)
- --------------------------------------------------------------------------------
Change in unrealized appreciation (depreciation) --
Investments (identified cost basis) $24,975,959
Interest rate swap contracts 500,614
Foreign currency and forward foreign currency exchange contracts 15,849
- --------------------------------------------------------------------------------
Net change in unrealized appreciation (depreciation) $25,492,422
- --------------------------------------------------------------------------------
Net realized and unrealized gain $22,585,678
- --------------------------------------------------------------------------------
Net increase in net assets from operations $40,583,782
- --------------------------------------------------------------------------------
See notes to financial statements
Eaton Vance Floating-Rate High Income Fund as of October 31, 2003
FINANCIAL STATEMENTS CONT'D
Statements of Changes in Net Assets
Increase (Decrease) Year Ended Year Ended
in Net Assets October 31, 2003 October 31, 2002
- -----------------------------------------------------------------------------------------------
From operations --
Net investment income $ 17,998,104 $ 24,198,169
Net realized loss (2,906,744) (16,478,005)
Net change in unrealized appreciation (depreciation) 25,492,422 (6,091,303)
- -----------------------------------------------------------------------------------------------
Net increase in net assets from operations $ 40,583,782 $ 1,628,861
- -----------------------------------------------------------------------------------------------
Distributions to shareholders --
From net investment income
Advisers $ (1,613,334) $ (1,720,054)
Class A (260,044) --
Class B (5,931,547) (8,098,704)
Class C (10,408,540) (14,314,528)
Institutional (88,236) (242,198)
- -----------------------------------------------------------------------------------------------
Total distributions to shareholders $ (18,301,701) $ (24,375,484)
- -----------------------------------------------------------------------------------------------
Transactions in shares of beneficial interest --
Proceeds from sale of shares
Advisers $ 49,720,453 $ 17,005,445
Class A 45,561,870 --
Class B 31,057,404 23,871,727
Class C 94,691,495 57,267,645
Institutional 1,828,633 351,785
Net asset value of shares issued to shareholders in
payment of distributions declared
Advisers 1,272,619 1,303,183
Class A 191,323 --
Class B 3,296,400 4,536,803
Class C 7,121,303 9,957,604
Institutional 57,080 125,087
Cost of shares redeemed
Advisers (15,414,913) (19,623,972)
Class A (6,922,602) --
Class B (46,029,341) (57,321,304)
Class C (90,454,127) (151,720,920)
Institutional (301,549) (6,126,121)
- -----------------------------------------------------------------------------------------------
Net increase (decrease) in net assets from
Fund share transactions $ 75,676,048 $(120,373,038)
- -----------------------------------------------------------------------------------------------
Net increase (decrease) in net assets $ 97,958,129 $(143,119,661)
- -----------------------------------------------------------------------------------------------
Net Assets
- -----------------------------------------------------------------------------------------------
At beginning of year $477,535,033 $ 620,654,694
- -----------------------------------------------------------------------------------------------
At end of year $575,493,162 $ 477,535,033
- -----------------------------------------------------------------------------------------------
Accumulated distributions in excess of net investment income included in net
assets
- -----------------------------------------------------------------------------------------------
At end of year $ (118,889) $ (11,105)
- -----------------------------------------------------------------------------------------------
See notes to financial statements
Eaton Vance Floating-Rate High Income Fund as of October 31, 2003
FINANCIAL STATEMENTS CONT'D
FINANCIAL HIGHLIGHTS
Class A
-------------
Period Ended
October 31,
2003(1)(2)
- --------------------------------------------------------------------------------
Net asset value -- Beginning of year $ 10.000
- --------------------------------------------------------------------------------
Income (loss) from operations
- --------------------------------------------------------------------------------
Net investment income $ 0.179
Net realized and unrealized gain 0.241
- --------------------------------------------------------------------------------
Total income from operations $ 0.420
- --------------------------------------------------------------------------------
Less distributions
- --------------------------------------------------------------------------------
From net investment income $ (0.200)
- --------------------------------------------------------------------------------
Total distributions $ (0.200)
- --------------------------------------------------------------------------------
Net asset value -- End of period $ 10.220
- --------------------------------------------------------------------------------
Total Return(3) 4.23%
- --------------------------------------------------------------------------------
Ratios/Supplemental Data+
- --------------------------------------------------------------------------------
Net assets, end of year (000's omitted) $ 39,128
Ratios (As a percentage of average daily net assets):
Net expenses(4) 1.12%(5)
Net investment income 3.68%
Portfolio Turnover of the Floating-Rate Portfolio 64%
Portfolio Turnover of the High Income Portfolio 118%
- --------------------------------------------------------------------------------
(1) Net investment income per share was computed using average shares
outstanding.
(2) For the period from the start of business, May 7, 2003, to October 31, 2003.
(3) Returns are historical and are calculated by determining the percentage
change in net asset value with all distributions reinvested. Total return is
not computed on an annualized basis.
(4) Includes the Fund's share of the Portfolios' allocated expenses. (5)
Annualized.
See notes to financial statements
Eaton Vance Floating-Rate High Income Fund as of October 31, 2003
FINANCIAL STATEMENTS CONT'D
FINANCIAL HIGHLIGHTS
Advisers
---------------------------------------------------------------------------
Year Ended October 31,
---------------------------------------------------------------------------
2003(1) 2002(1)(2) 2001 2000(1)(3)
- ------------------------------------------------------------------------------------------------------------------------------
Net asset value -- Beginning of year $ 9.140 $ 9.550 $ 9.930 $ 10.000
- ------------------------------------------------------------------------------------------------------------------------------
Income (loss) from operations
- ------------------------------------------------------------------------------------------------------------------------------
Net investment income $ 0.407 $ 0.472 $ 0.725 $ 0.115
Net realized and unrealized gain (loss) 0.486 (0.408) (0.383) (0.070)
- ------------------------------------------------------------------------------------------------------------------------------
Total income from operations $ 0.893 $ 0.064 $ 0.342 $ 0.045
- ------------------------------------------------------------------------------------------------------------------------------
Less distributions
- ------------------------------------------------------------------------------------------------------------------------------
From net investment income $ (0.423) $ (0.474) $ (0.722) $ (0.115)
- ------------------------------------------------------------------------------------------------------------------------------
Total distributions $ (0.423) $ (0.474) $ (0.722) $ (0.115)
- ------------------------------------------------------------------------------------------------------------------------------
Net asset value -- End of year $ 9.610 $ 9.140 $ 9.550 $ 9.930
- ------------------------------------------------------------------------------------------------------------------------------
Total Return(4) 9.98% 0.62% 3.49% 0.44%
- ------------------------------------------------------------------------------------------------------------------------------
Ratios/Supplemental Data+
- ------------------------------------------------------------------------------------------------------------------------------
Net assets, end of year (000's omitted) $ 68,258 $ 30,960 $ 33,773 $ 7,074
Ratios (As a percentage of average daily net assets):
Net expenses(5) 1.12% 1.15% 1.03% 0.08%(6)
Net investment income 4.32 4.98% 6.94% 7.31%(6)
Portfolio Turnover of the Floating-Rate Portfolio 64% 76% 52% 3%
Portfolio Turnover of the High Income Portfolio 118% 88% 83% 41%
- ------------------------------------------------------------------------------------------------------------------------------
+ The operating expenses of the Fund and the Portfolio may reflect a reduction of the investment adviser fee/administration
fee, a reduction in the distribution and service fees, and an allocation of expenses to the Investment Adviser/Administrator.
Had such actions not been taken, the ratios and net investment income per share would have been as follows:
Ratios (As a percentage of average daily net assets):
Expenses(5) 1.16% 1.68%(6)
Net investment income 6.81% 5.71%(6)
Net investment income per share $ 0.711 $ 0.090
- ------------------------------------------------------------------------------------------------------------------------------
(1) Net investment income per share was computed using average shares outstanding.
(2) The Fund, through its investment in the High Income Portfolio, has adopted the provisions of the revised AICPA Audit and
Accounting Guide for Investment Companies and began using the interest method to amortize premiums on fixed-income
securities. The effect of this change for the year ended October 31, 2002 was to decrease net investment income per share
by $0.003, decrease net realized and unrealized losses per share by $0.003, and decrease the ratio of net investment income
to average net assets from 5.01% to 4.98%. Per share data and ratios for the periods prior to November 1, 2001 have not
been restated to reflect this change in presentation.
(3) For the period from the start of business, September 7, 2000, to October 31, 2000.
(4) Returns are historical and are calculated by determining the percentage change in net asset value with all distributions
reinvested. Total return is not computed on an annualized basis.
(5) Includes the Fund's share of the Portfolios' allocated expenses.
(6) Annualized.
Eaton Vance Floating-Rate High Income Fund as of October 31, 2003
FINANCIAL STATEMENTS CONT'D
FINANCIAL HIGHLIGHTS
Class B
---------------------------------------------------------------------------
Year Ended October 31,
---------------------------------------------------------------------------
2003(1) 2002(1)(2) 2001 2000(1)(3)
- ------------------------------------------------------------------------------------------------------------------------------
Net asset value -- Beginning of year $ 9.140 $ 9.550 $ 9.930 $ 10.000
- ------------------------------------------------------------------------------------------------------------------------------
Income (loss) from operations
- ------------------------------------------------------------------------------------------------------------------------------
Net investment income $ 0.348 $ 0.400 $ 0.664 $ 0.125
Net realized and unrealized gain (loss) 0.465 (0.407) (0.382) (0.070)
- ------------------------------------------------------------------------------------------------------------------------------
Total income (loss) from operations $ 0.813 $ (0.007) $ 0.282 $ 0.055
- ------------------------------------------------------------------------------------------------------------------------------
Less distributions
- ------------------------------------------------------------------------------------------------------------------------------
From net investment income $ (0.353) $ (0.403) $ (0.662) $ (0.125)
- ------------------------------------------------------------------------------------------------------------------------------
Total distributions $ (0.353) $ (0.403) $ (0.662) $ (0.125)
- ------------------------------------------------------------------------------------------------------------------------------
Net asset value -- End of year $ 9.600 $ 9.140 $ 9.550 $ 9.930
- ------------------------------------------------------------------------------------------------------------------------------
Total Return(4) 9.05% (0.13)% 2.86% 0.55%
- ------------------------------------------------------------------------------------------------------------------------------
Ratios/Supplemental Data+
- ------------------------------------------------------------------------------------------------------------------------------
Net assets, end of year (000's omitted) $ 161,457 $ 165,834 $ 202,557 $ 20,008
Ratios (As a percentage of average daily net assets):
Net expenses(5) 1.87% 1.90% 1.71% 0.12%(6)
Net investment income 3.71% 4.22% 6.18% 7.29%(6)
Portfolio Turnover of the Floating-Rate Portfolio 64% 76% 52% 3%
Portfolio Turnover of the High Income Portfolio 118% 88% 83% 41%
- ------------------------------------------------------------------------------------------------------------------------------
+ The operating expenses of the Fund and the Portfolio may reflect a reduction of the investment adviser fee/administration
fee, a reduction in the distribution and service fees, and an allocation of expenses to the Investment Adviser/Administrator.
Had such actions not been taken, the ratios and net investment income per share would have been as follows:
Ratios (As a percentage of average daily net assets):
Expenses(5) 1.92% 2.41%(6)
Net investment income 5.97% 4.99%(6)
Net investment income per share $ 0.641 $ 0.086
- ------------------------------------------------------------------------------------------------------------------------------
(1) Net investment income per share was computed using average shares outstanding.
(2) The Fund, through its investment in the High Income Portfolio, has adopted the provisions of the revised AICPA Audit and
Accounting Guide for Investment Companies and began using the interest method to amortize premiums on fixed-income
securities. The effect of this change for the year ended October 31, 2002 was to decrease net investment income per share
by $0.003, decrease net realized and unrealized losses per share by $0.003, and decrease the ratio of net investment income
to average net assets from 4.25% to 4.22%. Per share data and ratios for the periods prior to November 1, 2001 have not
been restated to reflect this change in presentation.
(3) For the period from the start of business, September 5, 2000, to October 31, 2000.
(4) Returns are historical and are calculated by determining the percentage change in net asset value with all distributions
reinvested. Total return is not computed on an annualized basis.
(5) Includes the Fund's share of the Portfolios' allocated expenses.
(6) Annualized.
Eaton Vance Floating-Rate High Income Fund as of October 31, 2003
FINANCIAL STATEMENTS CONT'D
FINANCIAL HIGHLIGHTS
Class C
---------------------------------------------------------------------------
Year Ended October 31,
---------------------------------------------------------------------------
2003(1) 2002(1)(2) 2001 2000(1)(3)
- ------------------------------------------------------------------------------------------------------------------------------
Net asset value -- Beginning of year $ 9.140 $ 9.540 $ 9.930 $ 10.000
- ------------------------------------------------------------------------------------------------------------------------------
Income (loss) from operations
- ------------------------------------------------------------------------------------------------------------------------------
Net investment income $ 0.346 $ 0.401 $ 0.665 $ 0.126
Net realized and unrealized gain (loss) 0.467 (0.398) (0.393) (0.069)
- ------------------------------------------------------------------------------------------------------------------------------
Total income from operations $ 0.813 $ 0.003 $ 0.272 $ 0.057
- ------------------------------------------------------------------------------------------------------------------------------
Less distributions
- ------------------------------------------------------------------------------------------------------------------------------
From net investment income $ (0.353) $ (0.403) $ (0.662) $ (0.127)
- ------------------------------------------------------------------------------------------------------------------------------
Total distributions $ (0.353) $ (0.403) $ (0.662) $ (0.127)
- ------------------------------------------------------------------------------------------------------------------------------
Net asset value -- End of year $ 9.600 $ 9.140 $ 9.540 $ 9.930
- ------------------------------------------------------------------------------------------------------------------------------
Total Return(4) 9.06% (0.03)% 2.75% 0.57%
- ------------------------------------------------------------------------------------------------------------------------------
Ratios/Supplemental Data+
- ------------------------------------------------------------------------------------------------------------------------------
Net assets, end of year (000's omitted) $ 303,297 $ 279,061 $ 376,884 $ 84,092
Ratios (As a percentage of average daily net assets):
Net expenses(5) 1.87% 1.91% 1.66% 0.10%(6)
Net investment income 3.69% 4.23% 6.35% 8.16%(6)
Portfolio Turnover of the Floating-Rate Portfolio 64% 76% 52% 3%
Portfolio Turnover of the High Income Portfolio 118% 88% 83% 41%
- ------------------------------------------------------------------------------------------------------------------------------
+ The operating expenses of the Fund and the Portfolio may reflect a reduction of the investment adviser fee/administration
fee, and an allocation of expenses to the Investment Adviser/Administrator. Had such actions not been taken, the ratios and
net investment income per share would have been as follows:
Ratios (As a percentage of average daily net assets):
Expenses(5) 1.89% 2.41%(6)
Net investment income 6.12% 5.85%(6)
Net investment income per share $ 0.641 $ 0.090
- ------------------------------------------------------------------------------------------------------------------------------
(1) Net investment income per share was computed using average shares outstanding.
(2) The Fund, through its investment in the High Income Portfolio, has adopted the provisions of the revised AICPA Audit and
Accounting Guide for Investment Companies and began using the interest method to amortize premiums on fixed-income
securities. The effect of this change for the year ended October 31, 2002 was to decrease net investment income per share
by $0.003, decrease net realized and unrealized losses per share by $0.003, and decrease the ratio of net investment income
to average net assets from 4.26% to 4.23%. Per share data and ratios for the periods prior to November 1, 2001 have not
been restated to reflect this change in presentation.
(3) For the period from the start of business, September 5, 2000, to October 31, 2000.
(4) Returns are historical and are calculated by determining the percentage change in net asset value with all distributions
reinvested. Total return is not computed on an annualized basis.
(5) Includes the Fund's share of the Portfolios' allocated expenses.
(6) Annualized.
Eaton Vance Floating-Rate High Income Fund as of October 31, 2003
FINANCIAL STATEMENTS CONT'D
FINANCIAL HIGHLIGHTS
Institutional
---------------------------------------------------------------------------
Year Ended October 31,
---------------------------------------------------------------------------
2003(1) 2002(1)(2) 2001 2000(1)(3)
- ------------------------------------------------------------------------------------------------------------------------------
Net asset value -- Beginning of year $ 9.150 $ 9.550 $ 9.940 $ 10.000
- ------------------------------------------------------------------------------------------------------------------------------
Income (loss) from operations
- ------------------------------------------------------------------------------------------------------------------------------
Net investment income $ 0.432 $ 0.500 $ 0.750 $ 0.097
Net realized and unrealized gain (loss) 0.476 (0.402) (0.398) (0.061)
- ------------------------------------------------------------------------------------------------------------------------------
Total income from operations $ 0.908 $ 0.098 $ 0.352 $ 0.036
- ------------------------------------------------------------------------------------------------------------------------------
Less distributions
- ------------------------------------------------------------------------------------------------------------------------------
From net investment income $ (0.448) $ (0.498) $ (0.742) $ (0.096)
- ------------------------------------------------------------------------------------------------------------------------------
Total distributions $ (0.448) $ (0.498) $ (0.742) $ (0.096)
- ------------------------------------------------------------------------------------------------------------------------------
Net asset value -- End of year $ 9.610 $ 9.150 $ 9.550 $ 9.940
- ------------------------------------------------------------------------------------------------------------------------------
Total Return(4) 10.14% 0.98% 3.58% 0.36%
- ------------------------------------------------------------------------------------------------------------------------------
Ratios/Supplemental Data+
- ------------------------------------------------------------------------------------------------------------------------------
Net assets, end of year (000's omitted) $ 3,355 $ 1,681 $ 7,440 $ 45,852
Ratios (As a percentage of average daily net assets):
Net expenses(5) 0.87% 0.94% 0.58% 0.08%(6)
Net investment income 4.59% 5.24% 7.95% 8.87%(6)
Portfolio Turnover of the Floating-Rate Portfolio 64% 76% 52% 3%
Portfolio Turnover of the High Income Portfolio 118% 88% 83% 41%
- ------------------------------------------------------------------------------------------------------------------------------
+ The operating expenses of the Fund and the Portfolio may reflect a reduction of the investment adviser fee/administration
fee, and an allocation of expenses to the Investment Adviser/Administrator. Had such actions not been taken, the ratios and
net investment income per share would have been as follows:
Ratios (As a percentage of average daily net assets):
Expenses(5) 0.71% 1.45%(6)
Net investment income 7.82% 7.50%(6)
Net investment income per share $ 0.738 $ 0.082
- ------------------------------------------------------------------------------------------------------------------------------
(1) Net investment income per share was computed using average shares outstanding.
(2) The Fund, through its investment in the High Income Portfolio, has adopted the provisions of the revised AICPA Audit and
Accounting Guide for Investment Companies and began using the interest method to amortize premiums on fixed-income
securities. The effect of this change for the year ended October 31, 2002 was to decrease net investment income per share
by $0.003, decrease net realized and unrealized losses per share by $0.003, and decrease the ratio of net investment income
to average net assets from 5.27% to 5.24%. Per share data and ratios for the periods prior to November 1, 2001 have not
been restated to reflect this change in presentation.
(3) For the period from the start of business, September 15, 2000, to October 31, 2000.
(4) Returns are historical and are calculated by determining the percentage change in net asset value with all distributions
reinvested. Total return is not computed on an annualized basis.
(5) Includes the Fund's share of the Portfolios' allocated expenses.
(6) Annualized.
Eaton Vance Floating-Rate High Income Fund as of October 31, 2003
NOTES TO FINANCIAL STATEMENTS
1 Significant Accounting Policies
- --------------------------------------------------------------------------------
Eaton Vance Floating-Rate High Income Fund (the Fund) is a non-diversified
series of Eaton Vance Mutual Funds Trust (the Trust). The Trust is an entity
of the type commonly known as a Massachusetts business trust and is registered
under the Investment Company Act of 1940, as amended, as an open- end
management investment company. The Fund offers five classes of shares. The
Advisers and Institutional Classes of shares are generally sold at net asset
value per share and assess a redemption fee of 1% for shares redeemed or
exchanged within three months of purchase. Class A shares are generally sold
subject to a sales charge imposed at time of purchase and assess a redemption
fee of 1% for shares redeemed or exchanged within three months of purchase.
Class B and Class C shares are sold at net asset value and are generally
subject to a contingent deferred sales charge (see Note 6). Each class
represents a pro rata interest in the Fund, but votes separately on
class-specific matters and (as noted below) is subject to different expenses.
Realized and unrealized gains and losses are allocated daily to each class of
shares based on the relative net assets of each class to the total net assets
of the Fund. Net investment income, other than class specific expenses, is
allocated daily to each class of shares based upon the ratio of the value of
each class' paid shares to the total value of all paid shares. Each class of
shares differs in its distribution plan and certain other class specific
expenses. The Fund invests all of its investable assets in interests in two
Portfolios, Floating Rate Portfolio and High Income Portfolio (the
Portfolios), New York trusts having the same investment objectives as the
Fund. The value of the Fund's investment in the Portfolios reflects the Fund's
proportionate interest in the net assets of the Floating Rate Portfolio and
the High Income Portfolio (21.8% and 7.4% at October 31, 2003, respectively).
The performance of the Fund is directly affected by the performance of the
Portfolios. The financial statements of the Floating Rate Portfolio, including
the portfolio of investments, are included elsewhere in this report and should
be read in conjunction with the Fund's financial statements. See Note 8 for
further information on the results of operations of High Income Portfolio. A
copy of the financial statements of High Income Portfolio is available upon
request from Eaton Vance Distributors, Inc. (EVD) by calling 1-800-225-6265.
The following is a summary of significant accounting policies consistently
followed by the Fund in the preparation of its financial statements. The
policies are in conformity with accounting principles generally accepted in
the United States of America.
A Investment Valuation -- Valuation of securities by the Floating Rate
Portfolio is discussed in Note 1A of the Portfolio's Notes to Financial
Statements, which are included elsewhere in this report. High Income
Portfolio's valuation policies are as follows: fixed income investments (other
than short-term obligations), including listed investments and investments for
which price quotations are available, will normally be valued on the basis of
market valuations furnished by a pricing service. Other investments listed on
securities exchanges are valued at closing sale prices on the exchange where
such securities are principally traded. Marketable securities listed in the
NASDAQ National Market system are valued at the NASDAQ official closing price.
Listed or unlisted investments for which closing sale prices are not available
are valued at the mean between the latest bid and asked prices. Financial
futures contracts listed on commodity exchanges are valued at closing
settlement prices. Short- term obligations, maturing in sixty days or less,
are valued at amortized cost, which approximates value. Investments for which
there are no quotations or valuations are valued at fair value using methods
determined in good faith by or at the direction of the Trustees.
B Income -- The Fund's net investment income consists of the Fund's pro rata
share of the net investment income of the Portfolios, less all actual and
accrued expenses of the Fund determined in accordance with accounting
principles generally accepted in the United States of America.
C Federal Taxes -- The Fund's policy is to comply with the provisions of the
Internal Revenue Code applicable to regulated investment companies and to
distribute to shareholders each year all of its taxable income, including any
net realized gain on investments. Accordingly, no provision for Federal income
or excise tax is necessary. At October 31, 2003, the Fund, for federal income
tax purposes, had a capital loss carryover of $26,717,866 which will reduce
the Fund's taxable income arising from future net realized gains on
investments, if any, to the extent permitted by the Internal Revenue Code, and
thus will reduce the amount of the distributions to shareholders which would
otherwise be necessary to relieve the Fund of any liability for federal income
or excise tax. Such capital loss carryover will expire on October 31, 2008
($9,059), on October 31, 2009 ($7,397,085), on October 31, 2010 ($16,168,986)
and October 31, 2011 ($3,142,736).
D Use of Estimates -- The preparation of the financial statements in
conformity with accounting principles generally accepted in the United States
of America requires management to make estimates and assumptions that affect
the reported amounts of assets and liabilities at the date of the financial
statements and the reported amounts of income and expense during the reporting
period. Actual results could differ from those estimates.
E Expenses -- The majority of expenses of the Trust are directly identifiable
to an individual fund. Expenses which are not readily identifiable to a
specific fund are allocated taking into consideration, among other things, the
nature and type of expense and the relative size of the funds.
2 Distributions to Shareholders
- --------------------------------------------------------------------------------
The net income of the Fund is determined daily and substantially all of the
net income so determined is declared as a dividend to shareholders of record
at the time of declaration. Distributions are paid monthly. Distributions of
allocated realized capital gains, if any, are made at least annually.
Shareholders may reinvest capital gain distributions in additional shares of
the Fund at the net asset value as of the ex-dividend date. Distributions are
paid in the form of additional shares or, at the election of the shareholder,
in cash. The Fund distinguishes between distributions on a tax basis and a
financial reporting basis. Accounting principles generally accepted in the
United States of America require that only distributions in excess of tax
basis earnings and profits be reported in the financial statements as a return
of capital. Permanent differences between book and tax accounting relating to
distributions are reclassified to paid-in capital.
3 Shares of Beneficial Interest
- --------------------------------------------------------------------------------
The Trust's Declaration of Trust permits the Trustees to issue an unlimited
number of full and fractional shares of beneficial interest (without par
value). Transactions in Fund shares were as follows:
Year Ended October 31,
-------------------------------
Advisers 2003 2002
------------------------------------------------------------------------------
Sales 5,239,099 1,790,164
Issued to shareholders electing to
receive payments of distributions
in Fund shares 135,040 137,828
Redemptions (1,655,310) (2,079,234)
------------------------------------------------------------------------------
Net increase (decrease) 3,718,829 (151,242)
Year Ended October 31,
-------------------------------
Class A 2003* 2002
------------------------------------------------------------------------------
Sales 4,495,458 --
Issued to shareholders electing to
receive payments of distributions
in Fund shares 18,815 --
Redemptions (683,894) --
------------------------------------------------------------------------------
Net increase 3,830,379 --
------------------------------------------------------------------------------
Year Ended October 31,
-------------------------------
Class B 2003 2002
------------------------------------------------------------------------------
Sales 3,282,048 2,514,509
Issued to shareholders electing to
receive payments of distributions
in Fund shares 351,239 479,589
Redemptions (4,961,685) (6,069,581)
------------------------------------------------------------------------------
Net decrease (1,328,398) (3,075,483)
------------------------------------------------------------------------------
Year Ended October 31,
-------------------------------
Class C 2003 2002
------------------------------------------------------------------------------
Sales 10,008,502 6,017,448
Issued to shareholders electing to
receive payments of distributions
in Fund shares 758,767 1,052,289
Redemptions (9,711,790) (16,025,563)
------------------------------------------------------------------------------
Net increase (decrease) 1,055,479 (8,955,826)
------------------------------------------------------------------------------
Year Ended October 31,
-------------------------------
Institutional 2003 2002
------------------------------------------------------------------------------
Sales 192,222 36,875
Issued to shareholders electing to
receive payments of distributions
in Fund shares 6,051 13,145
Redemptions (32,988) (645,081)
------------------------------------------------------------------------------
Net increase (decrease) 165,285 (595,061)
------------------------------------------------------------------------------
* For the period from the commencement of offering of Class A shares, May 7,
2003, to October 31, 2003.
Redemptions or exchanges of Advisers, Class A or Institutional Class shares
made within three months of purchase are subject to a redemption fee equal to
1.00% of the amount redeemed. For the year ended October 31, 2003 the Fund
received $1,007 in redemption fees on Adviser Class shares. For the year ended
October 31, 2003 the Fund did not receive any redemption fees on Class A or
Institutional Class shares.
4 Transactions with Affiliates
- --------------------------------------------------------------------------------
The Fund is authorized to pay Eaton Vance Management, (EVM), a fee as
compensation for administrative services necessary to conduct the Fund's
business. The fee is computed at the annual rate of 0.15% of the Fund's
average daily net assets. For the year ended October 31, 2003, the fee
amounted to $720,014. The Portfolios have engaged Boston Management and
Research, (BMR), a subsidiary of EVM, to render investment advisory services.
See Note 2 of each of the Portfolio's Notes to Financial Statements. Except as
to Trustees of the Fund and the Portfolios who are not members of EVM's or
BMR's organization, officers and Trustees receive remuneration for their
services to the Fund out of such investment adviser fee. EVM serves as the
sub-transfer agent of the Fund and receives from the transfer agent an
aggregate fee based upon the actual expenses incurred by EVM in the
performance of those services. During the year ended October 31, 2003, EVM
earned $31,709 in sub-transfer agent fees. Certain officers and Trustees of
the Fund and of the Portfolios are officers of the above organizations. The
Fund was informed that Eaton Vance Distributors, Inc. (EVD), a subsidiary of
EVM and the Fund's principal underwriter, received $7,593 from the Fund as its
portion of the sales charge on sales of Class A shares for the period from May
7, 2003, the commencement of offering of Class A shares, to October 31, 2003.
5 Distribution and Service Plans
- --------------------------------------------------------------------------------
The Fund has in effect distribution plans for Class B shares (Class B Plan)
and Class C shares (Class C Plan) pursuant to Rule 12b-1 under the Investment
Company Act of 1940 and a service plan for the Advisers shares (Advisers Plan)
and Class A shares (Class A Plan) (collectively, the Plans). The Class B and
Class C Plans require the Fund to pay Eaton Vance Distributors, Inc. (EVD),
amounts equal to 1/365 of 0.75% of the Fund's average daily net assets
attributable to Class B and Class C shares, for providing ongoing distribution
services and facilities to the Fund. The Fund will automatically discontinue
payments to EVD during any period in which there are no outstanding Uncovered
Distribution Charges, which are equivalent to the sum of (i) 6.25% of the
aggregate amount received by the Fund for Class B and Class C shares sold,
plus (ii) interest calculated by applying the rate of 1% over the prevailing
prime rate to the outstanding balance of Uncovered Distribution Charges of EVD
of each respective class, reduced by the aggregate amount of contingent
deferred sales charges (see Note 6) and daily amounts theretofore paid to EVD
by each respective class. For the year ended October 31, 2003, the Fund paid
or accrued $1,178,706 and $2,079,657, respectively, to or payable to EVD
representing 0.75% of average daily net assets of Class B and Class C shares,
respectively. At October 31, 2003, the amount of Uncovered Distribution
Charges of EVD calculated under the Plan was approximately $8,129,128 and
$22,532,881 for Class B and Class C shares, respectively.
The Plans authorize the Fund to make payments of service fees to EVD,
investment dealers and other persons in amounts equal to 0.25% of the Fund's
average daily net assets attributable to the Advisers Class, Class A, Class B
and Class C shares for each fiscal year. Service fee payments will be made for
personal services and/or the maintenance of shareholder accounts. Service fees
are separate and distinct from the sales commissions and distribution fees
payable by the Fund to EVD, and, as such are not subject to automatic
discontinuance where there are no outstanding Uncovered Distribution Charges
of EVD. Service fee payments for the year ended October 31, 2003 amounted to
$91,827, $17,333, $392,902 and $693,219 for Advisers Class, Class A, Class B
and Class C shares, respectively.
6 Contingent Deferred Sales Charge
- --------------------------------------------------------------------------------
Class A shares purchased at net asset value in amounts of $1 million or more
(other than shares purchased in a single transaction of $5 million or more)
are subject to a 1.00% CDSC if redeemed within one year of purchase. A
contingent deferred sales charge (CDSC) generally is imposed on redemptions of
Class B shares made within six years of purchase and on redemptions of Class C
shares made within one year of purchase. Generally, the CDSC is based on the
lower of the net asset value at the date of redemption or date of purchase. No
charge is levied on shares acquired by reinvestment of dividends or capital
gains distributions. Class B CDSC is imposed at declining rates that begin at
5% in the case of redemptions in the first and second years of redemption
after purchase, declining one percentage point each subsequent year. Class C
shares will be subject to a 1% CDSC if redeemed within one year of purchase.
No CDSC is levied on shares which have been sold to EVM or its affiliates or
to their respective employees or clients and may be waived under certain other
limited conditions. CDSC charges are paid to EVD to reduce the amount of
Uncovered Distribution Charges calculated under each Class' Distribution Plan.
CDSC charges received when no Uncovered Distribution Charges exist will be
credited to the Fund. The Fund has been informed that EVD received
approximately $792,329 and $38,631 of CDSC paid by shareholders of Class B and
Class C shares, respectively, for the year ended October 31, 2003.
7 Investment Transactions
- --------------------------------------------------------------------------------
Increases and decreases in the Fund's investment in the Floating Rate
Portfolio for the year ended October 31, 2003, aggregated $102,390,471 and
$65,487,794, respectively. Increases and decreases in the Fund's investment in
the High Income Portfolio for the year ended October 31, 2003, aggregated
$18,068,908 and $11,556,669, respectively.
8 Investment in Portfolios
- --------------------------------------------------------------------------------
For the year ended October 31, 2003, the Fund was allocated net investment
income and realized and unrealized gain (loss) from the Portfolios as follows:
Floating High
Rate Income
Portfolio Portfolio Total
------------------------------------------------------------------------------
Dividend income $ -- $ 151,008 $ 151,008
Interest income 19,493,261 6,934,858 26,428,119
Miscellaneous income -- 60,475 60,475
Expenses (2,513,039) (439,973) (2,953,012)
------------------------------------------------------------------------------
Net investment income $16,980,222 $6,706,368 $23,686,590
------------------------------------------------------------------------------
Net realized gain (loss) --
Investment transactions
(identified cost basis) $(4,228,765) $1,826,655 $(2,402,110)
Interest rate swap
contracts (424,208) -- (424,208)
Foreign currency and
forward foreign currency
exchange contract
transactions -- (80,426) (80,426)
------------------------------------------------------------------------------
Net realized gain (loss) on
investments $(4,652,973) $1,746,229 $(2,906,744)
------------------------------------------------------------------------------
Change in unrealized
appreciation (depreciation) --
Investments $15,003,622 $9,972,337 $24,975,959
Interest rate swap
contracts 500,614 -- 500,614
Foreign currency and
forward foreign currency
exchange contracts -- 15,849 15,849
------------------------------------------------------------------------------
Net change in unrealized
appreciation (depreciation) $15,504,236 $9,988,186 $25,492,422
------------------------------------------------------------------------------
9 Shareholder Meeting (Unaudited)
- --------------------------------------------------------------------------------
The Fund held a Special Meeting of Shareholders on
June 6, 2003 to elect Trustees. The results of the vote were as follows:
Number of Shares
----------------------------
Nominee for Trustee Affirmative Withhold
---------------------------------------------------------------------
Jessica M. Bibliowicz 40,249,157 324,722
Donald R. Dwight 40,236,798 337,081
James B. Hawkes 40,287,949 285,930
Samuel L. Hayes, III 40,248,435 325,444
William H. Park 40,284,429 289,450
Norton H. Reamer 40,263,309 310,570
Lynn A. Stout 40,260,853 313,026
Each nominee was also elected a Trustee of the Portfolio. Donald R. Dwight
retired as a Trustee effective July 1, 2003 pursuant to the mandatory
retirement policy of the Trust.
Eaton Vance Floating-Rate High Income Fund as of October 31, 2003
INDEPENDENT AUDITORS' REPORT
To the Trustees of Eaton Vance Mutual Funds Trust and Shareholders of Eaton
Vance Floating-Rate High Income Fund:
- --------------------------------------------------------------------------------
We have audited the accompanying statement of assets and liabilities of Eaton
Vance Floating-Rate High Income Fund (the Fund) as of October 31, 2003, the
related statement of operations for the year then ended and the statements of
changes in net assets for each of the two years in the period then ended, and
the financial highlights for each of the three years in the period then ended
and for the period from the start of business, September 5, 2000, to October 31,
2000. These financial statements and financial highlights are the responsibility
of the Fund's management. Our responsibility is to express an opinion on these
financial statements and financial highlights based on our audits.
We conducted our audits in accordance with auditing standards generally accepted
in the United States of America. Those standards require that we plan and
perform the audit to obtain reasonable assurance about whether the financial
statements and financial highlights are free of material misstatement. An audit
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements. An audit also includes assessing the
accounting principles used and significant estimates made by management, as well
as evaluating the overall financial statement presentation. We believe that our
audits provide a reasonable basis for our opinion.
In our opinion, such financial statements and financial highlights present
fairly, in all material respects, the financial position of Eaton Vance
Floating-Rate High Income Fund at October 31, 2003, the results of its
operations, the changes in its net assets and its financial highlights for the
respective stated periods in conformity with accounting principles generally
accepted in the United States of America.
DELOITTE & TOUCHE LLP
Boston, Massachusetts
December 16, 2003
Floating Rate Portfolio as of October 31, 2003
PORTFOLIO OF INVESTMENTS
Senior Floating Rate Interests -- 80.8%(1)
Principal
Amount Borrower/Tranche Description Value
- --------------------------------------------------------------------------------
Advertising -- 0.6%
- --------------------------------------------------------------------------------
Lamar Media Corp.
$12,500,000 Term Loan, Maturing June 30, 2010 $ 12,631,513
- --------------------------------------------------------------------------------
$ 12,631,513
- --------------------------------------------------------------------------------
Aerospace and Defense -- 1.1%
- --------------------------------------------------------------------------------
Alliant Techsystems, Inc.
$ 9,492,704 Term Loan, Maturing April 20, 2009 $ 9,570,820
Transdigm, Inc.
9,000,000 Term Loan, Maturing July 22, 2010 9,104,066
United Defense Industries, Inc.
6,049,695 Term Loan, Maturing June 30, 2009 6,074,002
- --------------------------------------------------------------------------------
$ 24,748,888
- --------------------------------------------------------------------------------
Auto Components -- 4.1%
- --------------------------------------------------------------------------------
Accuride Corporation
$ 1,136,165 Term Loan, Maturing January 21, 2007 $ 1,143,740
3,500,000 Term Loan, Maturing June 13, 2007 3,543,750
American Axle & Manufacturing, Inc.
3,906,585 Term Loan, Maturing April 30, 2006 3,918,793
Collins & Aikman
3,858,767 Term Loan, Maturing December 31, 2004 3,814,553
Dura Operating Corp.
2,767,481 Term Loan, Maturing March 31, 2007 2,787,806
Exide Corporation
7,000,000 DIP Loan, Maturing February 15, 2004 6,895,000
1,828,953 Revolving Loan, Maturing March 18, 2005(2) 1,322,942
4,075,155 Term Loan, Maturing March 18, 2001(2) 2,947,694
Federal-Mogul Corporation
3,345,626 Revolving Loan, Maturing February 24, 2004 3,328,898
4,896,682 Term Loan, Maturing February 24, 2004 4,589,440
5,500,000 Term Loan, Maturing February 24, 2005 4,681,875
HLI Operating Company, Inc.
6,483,750 Term Loan, Maturing June 3, 2009 6,565,808
J.L. French Automotive Castings, Inc.
2,119,741 Term Loan, Maturing November 30, 2006 2,003,155
Metaldyne, Inc.
5,726,524 Term Loan, Maturing December 31, 2009 5,689,542
Tenneco Automotive
2,356,965 Term Loan, Maturing December 31, 2007 2,380,044
2,356,965 Term Loan, Maturing December 31, 2008 2,380,044
The Goodyear Tire & Rubber Company
7,000,000 Term Loan, Maturing March 31, 2006 7,052,500
TRW Automotive Holdings Corp.
3,300,000 Term Loan, Maturing February 28, 2010 3,334,033
15,500,000 Term Loan, Maturing February 28, 2011 15,671,151
United Components, Inc.
2,237,805 Term Loan, Maturing June 30, 2009 2,243,400
3,500,000 Term Loan, Maturing June 30, 2010 3,531,352
- --------------------------------------------------------------------------------
$ 89,825,520
- --------------------------------------------------------------------------------
Broadcast Media -- 3.4%
- --------------------------------------------------------------------------------
Block Communications
$ 5,167,021 Term Loan, Maturing November 30, 2009 $ 5,215,462
CanWest Media, Inc.
10,000,000 Term Loan, Maturing May 15, 2009 10,102,080
Citadel Communications Corp.
276,444 Term Loan, Maturing March 31, 2006 276,963
Cumulus Media, Inc.
7,462,500 Term Loan, Maturing March 28, 2010 7,545,289
Discovery Communications, Inc.
2,901,722 Revolving Loan, Maturing December 31, 2004 2,742,127
2,000,000 Term Loan, Maturing December 31, 2005 1,930,000
Emmis Communication Corporation
1,269,972 Term Loan, Maturing August 31, 2008 1,274,961
7,413,497 Term Loan, Maturing August 31, 2009 7,497,929
Entercom Radio, LLC
3,750,000 Term Loan, Maturing September 30, 2007 3,721,875
Gray Television, Inc.
2,852,785 Term Loan, Maturing December 31, 2010 2,878,460
Lin Television Corp.
5,791,500 Term Loan, Maturing December 31, 2007 5,845,501
Nexstar Finance, LLC
4,600,000 Term Loan, Maturing December 31, 2010 4,625,020
Paxson Communications Corporation
3,910,000 Term Loan, Maturing June 30, 2006 3,927,920
Radio One, Inc.
4,057,143 Term Loan, Maturing June 30, 2007 4,001,357
Sinclair Television Group, Inc.
7,920,170 Term Loan, Maturing December 31, 2009 7,988,275
Susquehanna Media Co.
1,600,000 Term Loan, Maturing June 30, 2007 1,608,000
4,156,651 Term Loan, Maturing June 30, 2008 4,198,217
- --------------------------------------------------------------------------------
$ 75,379,436
- --------------------------------------------------------------------------------
Cable Television -- 3.9%
- --------------------------------------------------------------------------------
Adelphia
$ 4,472,847 DIP Loan, Maturing June 25, 2004 $ 4,508,258
Bresnan Communications, LLC
3,000,000 Term Loan, Maturing September 30, 2010 3,024,843
Century Cable Holdings, LLC(3)
4,800,000 Term Loan, Maturing December 31, 2009 4,146,000
Charter Communications Operating, LLC
6,330,016 Term Loan, Maturing March 18, 2008 6,143,679
2,955,000 Term Loan, Maturing September 18, 2008 2,854,654
Charter Communications VI
2,328,798 Term Loan, Maturing March 18, 2008 2,225,749
Charter Communications VIII
2,947,500 Term Loan, Maturing February 2, 2008 2,853,811
Classic Cable, Inc.
631,613 Term Loan, Maturing January 16, 2008 600,032
1,415,820 Term Loan, Maturing January 16, 2009 1,345,029
CSG Systems Intl, Inc.
2,826,821 Term Loan, Maturing December 31, 2006 2,699,614
2,925,630 Term Loan, Maturing December 31, 2007 2,812,262
DirectTV Holdings, LLC
20,407,500 Term Loan, Maturing March 6, 2010 20,545,250
Falcon Holding Group, L.P.
1,507,463 Revolving Loan, Maturing December 31, 2005 1,400,998
2,945,876 Term Loan, Maturing December 31, 2007 2,818,223
Frontiervision Operating Partners, L.P.(3)
4,139,394 Revolving Loan, Maturing March 31, 2005 4,015,212
Hilton Head Communications
8,736,250 Term Loan, Maturing May 15, 2007 7,611,458
Insight Midwest Holdings, LLC
13,000,000 Term Loan, Maturing December 31, 2009 13,069,923
MCC Iowa, LLC
1,000,000 Term Loan, Maturing September 30, 2010 1,008,403
Mediacom Southeast
1,543,333 Revolving Loan, Maturing March 31, 2008 1,547,192
1,973,763 Term Loan, Maturing September 30, 2008 1,978,696
- --------------------------------------------------------------------------------
$ 87,209,286
- --------------------------------------------------------------------------------
Casinos & Gaming -- 3.5%
- --------------------------------------------------------------------------------
Alliance Gaming Corporation
$12,000,000 Term Loan, Maturing September 5, 2009 $ 12,105,000
Ameristar Casinos, Inc.
6,359,967 Term Loan, Maturing December 31, 2006 6,405,282
Argosy Gaming Company
6,602,412 Term Loan, Maturing June 30, 2008 6,647,804
Aztar Corporation
1,701,142 Term Loan, Maturing June 30, 2005 1,708,585
Boyd Gaming Corporation
6,898,857 Term Loan, Maturing June 24, 2008 6,934,213
Isle of Capri Casinos
7,387,500 Term Loan, Maturing April 25, 2008 7,440,601
Mandalay Resort Group
9,990,471 Term Loan, Maturing August 18, 2006 9,973,816
Marina District Finance Company
223,729 Revolving Loan, Maturing December 31, 2007 218,136
7,322,034 Term Loan, Maturing December 31, 2007 7,402,122
MGM Mirage
1,952,250 Revolving Loan, Maturing April 10, 2005 1,939,439
Mohegan Tribal Gaming Authority
2,500,000 Term Loan, Maturing March 31, 2008 2,506,250
Park Place Entertainment Corporation
4,015,772 Revolving Loan, Maturing December 31, 2003 4,005,732
Penn National Gaming, Inc.
497,501 Term Loan, Maturing December 31, 2009 501,356
Pinnacle Entertainment, Inc.
2,992,500 Term Loan, Maturing May 15, 2008 3,014,944
Scientific Games Corporation
2,977,500 Term Loan, Maturing December 31, 2008 2,991,768
Venetian Casino Resort, LLC/Las Vegas Sands, Inc.
1,000,000 Term Loan, Maturing June 4, 2007 1,001,250
2,466,275 Term Loan, Maturing June 4, 2008 2,499,158
- --------------------------------------------------------------------------------
$ 77,295,456
- --------------------------------------------------------------------------------
Chemicals -- 3.5%
- --------------------------------------------------------------------------------
Arteva B.V. (Kosa)
$ 4,738,609 Term Loan, Maturing December 31, 2006 $ 4,732,686
CP Kelco U.S., Inc.
3,478,129 Term Loan, Maturing March 31, 2008 3,497,694
1,156,474 Term Loan, Maturing September 30, 2008 1,163,461
GEO Specialty Chemicals, Inc.
2,275,000 Term Loan, Maturing December 31, 2007 2,036,125
Georgia Gulf Corporation
3,407,385 Term Loan, Maturing May 12, 2009 3,437,200
GGP/Homart
1,666,667 Term Loan, Maturing November 25, 2003 1,677,083
Huntsman Int'l
4,561,600 Term Loan, Maturing June 30, 2007 4,584,691
4,561,654 Term Loan, Maturing June 30, 2008 4,584,462
Huntsman LLC
254,168 Term Loan, Maturing March 31, 2006 224,198
181,872 Term Loan, Maturing March 31, 2007 160,426
IMC Global, Inc.
6,358,146 Term Loan, Maturing November 17, 2006 6,416,164
Messer Griesham GmbH
3,974,064 Term Loan, Maturing April 30, 2009 4,011,321
5,463,013 Term Loan, Maturing April 30, 2010 5,514,229
Millenium America
1,703,804 Term Loan, Maturing June 30, 2006 1,711,471
NOVEON
12,706,520 Term Loan, Maturing December 31, 2009 12,841,526
Polymer Group, Inc.
5,542,861 Term Loan, Maturing December 31, 2006 5,408,907
Resolution Performance Products, LLC
5,650,550 Term Loan, Maturing November 14, 2008 5,652,906
Rockwood Specialties Group, Inc.
6,500,000 Term Loan, Maturing July 23, 2010 6,567,711
Westlake Chemical Corporation
3,740,625 Term Loan, Maturing July 31, 2010 3,783,878
- --------------------------------------------------------------------------------
$ 78,006,139
- --------------------------------------------------------------------------------
Coal -- 0.1%
- --------------------------------------------------------------------------------
Peabody Energy Corporation
$ 2,487,500 Term Loan, Maturing March 21, 2010 $ 2,514,967
- --------------------------------------------------------------------------------
$ 2,514,967
- --------------------------------------------------------------------------------
Commercial Services -- 2.0%
- --------------------------------------------------------------------------------
Advanstar Communications Inc.
$ 588,192 Term Loan, Maturing November 17, 2007 $ 588,192
Anthony Crane Rental, L.P.(3)
4,243,444 Term Loan, Maturing July 20, 2006 2,282,973
Coinmach Laundry Corporation
9,800,000 Term Loan, Maturing July 25, 2009 9,850,019
Corrections Corporation of America
4,783,000 Term Loan, Maturing March 31, 2008 4,839,798
Environmental Systems Products Hldgs., Inc.
2,184,596 Term Loan, Maturing December 31, 2004 2,184,596
2,573,471 Term Loan, Maturing December 31, 2005 2,534,869
Gate Gourmet Borrower LLC
4,300,000 Term Loan, Maturing December 31, 2008 4,179,063
Interline Brands, Inc.
3,456,250 Term Loan, Maturing November 30, 2009 3,473,531
Language Line, LLC
5,500,000 Term Loan, Maturing December 31, 2008 5,529,794
Panavision International, L.P.
2,088,427 Revolving Loan, Maturing March 31, 2004 2,010,111
697,149 Term Loan, Maturing March 31, 2004 671,006
1,965,148 Term Loan, Maturing March 31, 2005 1,879,172
Volume Services, Inc.
2,407,366 Term Loan, Maturing June 30, 2004 2,401,348
Wackenhut Corrections Corporation
987,500 Term Loan, Maturing July 9, 2009 997,992
- --------------------------------------------------------------------------------
$ 43,422,464
- --------------------------------------------------------------------------------
Communications Equipment -- 0.2%
- --------------------------------------------------------------------------------
Amphenol Corporation
$ 3,717,000 Term Loan, Maturing May 6, 2010 $ 3,746,966
- --------------------------------------------------------------------------------
$ 3,746,966
- --------------------------------------------------------------------------------
Construction Materials -- 0.3%
- --------------------------------------------------------------------------------
Formica Corporation
$ 4,665,128 Revolving Loan, Maturing May 1, 2004 $ 4,525,174
1,245,346 Term Loan, Maturing May 1, 2004 1,207,985
NCI Building Systems, Inc.
1,418,987 Term Loan, Maturing July 31, 2008 1,428,743
Panolam Industries, Inc.
500,000 Term Loan, Maturing November 24, 2007 492,500
- --------------------------------------------------------------------------------
$ 7,654,402
- --------------------------------------------------------------------------------
Containers & Packaging - Metal & Glass -- 1.6%
- --------------------------------------------------------------------------------
Ball Corporation
$ 1,070,714 Term Loan, Maturing December 31, 2009 $ 1,077,184
Owens-Illinois Inc.
5,750,000 Term Loan, Maturing April 1, 2007 5,767,072
12,500,000 Term Loan, Maturing April 1, 2008 12,595,050
Silgan Holdings Inc.
15,342,289 Term Loan, Maturing December 31, 2008 15,457,356
- --------------------------------------------------------------------------------
$ 34,896,662
- --------------------------------------------------------------------------------
Containers & Packaging - Paper -- 2.4%
- --------------------------------------------------------------------------------
Blue Ridge Paper Products, Inc.(3)
$ 1,447,987 Revolving Loan, Maturing March 31, 2005 $ 1,129,430
150,521 Term Loan, Maturing March 31, 2005 117,407
1,948,792 Term Loan, Maturing March 31, 2006 1,520,058
Graphic Package International Inc.
23,150,000 Term Loan, Maturing August 8, 2009 23,375,712
Greif Bros. Corporation
1,932,789 Term Loan, Maturing August 31, 2008 1,943,143
Jefferson Smurfit Corporation
1,018,182 Revolving Loan, Maturing March 31, 2005 1,005,454
2,081,535 Term Loan, Maturing March 31, 2007 2,095,630
Port Townsend Paper Corporation
975,000 Term Loan, Maturing March 16, 2007 906,750
475,373 Term Loan, Maturing March 16, 2008 442,097
Printpack Holdings, Inc.
6,065,094 Term Loan, Maturing April 30, 2009 6,095,420
Stone Container Corporation
11,783,652 Term Loan, Maturing June 30, 2009 11,876,448
1,996,541 Term Loan, Maturing June 30, 2010 2,012,264
- --------------------------------------------------------------------------------
$ 52,519,813
- --------------------------------------------------------------------------------
Containers & Packaging - Plastics -- 1.0%
- --------------------------------------------------------------------------------
Berry Plastics Corporation
$ 4,836,721 Term Loan, Maturing June 30, 2010 $ 4,883,579
Consolidated Container Holdings LLC
990,142 Term Loan, Maturing June 30, 2007 904,330
Crown Cork & Seal Americas, Inc.
12,075,000 Term Loan, Maturing September 15, 2008 12,192,731
Tekni-Plex, Inc.
1,023,507 Revolving Loan, Maturing June 21, 2006 974,890
1,117,208 Term Loan, Maturing June 21, 2006 1,103,243
1,969,466 Term Loan, Maturing June 30, 2008 1,966,182
- --------------------------------------------------------------------------------
$ 22,024,955
- --------------------------------------------------------------------------------
Educational Services -- 0.7%
- --------------------------------------------------------------------------------
Jostens, Inc.
$11,000,000 Term Loan, Maturing July 29, 2010 $ 11,102,167
Knowledge Learning Corporation
4,432,500 Term Loan, Maturing May 15, 2010 4,429,730
- --------------------------------------------------------------------------------
$ 15,531,897
- --------------------------------------------------------------------------------
Electronic Equipment & Instruments -- 0.1%
- --------------------------------------------------------------------------------
Knowles Electronics, Inc.
$ 1,274,309 Term Loan, Maturing June 29, 2007 $ 1,269,530
- --------------------------------------------------------------------------------
$ 1,269,530
- --------------------------------------------------------------------------------
Entertainment -- 1.8%
- --------------------------------------------------------------------------------
AMF Bowling Worldwide, Inc.
$ 1,915,922 Term Loan, Maturing February 28, 2008 $ 1,925,104
Amfac Resorts, Inc.
4,099,383 Term Loan, Maturing September 30, 2004 4,094,259
4,099,383 Term Loan, Maturing September 30, 2005 4,094,259
Blockbuster Entertainment Corp.
205,714 Revolving Loan, Maturing July 1, 2004 204,094
2,848,611 Term Loan, Maturing July 1, 2004 2,845,347
Hollywood Entertainment Corporation
2,052,534 Term Loan, Maturing March 31, 2008 2,066,965
Six Flags Theme Parks Inc.
7,000,000 Term Loan, Maturing June 30, 2009 7,001,876
Universal City Development Partners, L.P.
4,525,613 Term Loan, Maturing June 30, 2007 4,548,240
Vivendi Universal Entertainment LLP
12,000,000 Term Loan, Maturing June 30, 2008 12,094,500
- --------------------------------------------------------------------------------
$ 38,874,644
- --------------------------------------------------------------------------------
Environmental Services -- 1.4%
- --------------------------------------------------------------------------------
Allied Waste Industries, Inc.
$ 5,000,000 Term Loan, Maturing January 15, 2009 $ 5,068,125
13,190,179 Term Loan, Maturing January 15, 2010 13,390,392
3,000,000 Term Loan, Maturing January 15, 2011 3,039,375
Casella Waste Systems, Inc.
4,500,000 Term Loan, Maturing January 24, 2010 4,541,625
IESI Corporation
4,750,000 Term Loan, Maturing September 30, 2010 4,793,049
Stericycle, Inc.
1,005,239 Term Loan, Maturing November 10, 2006 1,013,406
- --------------------------------------------------------------------------------
$ 31,845,972
- --------------------------------------------------------------------------------
Food, Beverages & Tobacco -- 4.0%
- --------------------------------------------------------------------------------
American Seafood Holdings Inc.
$ 1,362,381 Term Loan, Maturing September 30, 2007 $ 1,357,272
2,783,196 Term Loan, Maturing March 31, 2009 2,795,952
Aurora Foods, Inc.
3,280,357 Revolving Loan, Maturing September 30, 2005 3,333,663
993,655 Term Loan, Maturing September 30, 2006 1,009,181
743,340 Term Loan, Maturing March 31, 2007 754,955
B&G Foods, Inc.
3,000,000 Term Loan, Maturing August 31, 2009 3,036,249
Constellation Brands, Inc.
2,685,338 Term Loan, Maturing November 30, 2008 2,716,219
Dean Foods Company
7,848,096 Term Loan, Maturing July 15, 2008 7,920,448
Del Monte Corporation
1,054,275 Term Loan, Maturing December 20, 2008 1,061,523
11,865,048 Term Loan, Maturing December 20, 2010 12,030,660
Dr. Pepper/Seven Up Bottling Group, Inc.
1,983,094 Term Loan, Maturing October 7, 2006 1,971,527
1,993,400 Term Loan, Maturing October 7, 2007 2,005,237
Eagle Family Foods, Inc.
3,059,280 Term Loan, Maturing December 31, 2005 2,942,009
Interstate Brands Corporations
9,802,014 Term Loan, Maturing July 19, 2007 9,837,546
2,007,645 Term Loan, Maturing July 19, 2008 2,010,783
Merisant Company
5,493,333 Term Loan, Maturing January 31, 2010 5,546,553
Michael Foods, Inc.
1,354,509 Term Loan, Maturing March 30, 2008 1,361,706
Nutra Sweet
56,491 Term Loan, Maturing June 30, 2007 56,632
936,000 Term Loan, Maturing June 30, 2008 917,865
Reddy Ice Group, Inc.
7,500,000 Term Loan, Maturing July 31, 2009 7,581,248
Seminis Vegetable Seeds, Inc.
8,750,000 Term Loan, Maturing September 30, 2009 8,864,844
Southern Wine & Spirits of America, Inc.
10,355,446 Term Loan, Maturing June 28, 2008 10,415,849
- --------------------------------------------------------------------------------
$ 89,527,921
- --------------------------------------------------------------------------------
Funeral Service -- 0.3%
- --------------------------------------------------------------------------------
Alderwoods Group
$ 6,511,623 Term Loan, Maturing September 30, 2008 $ 6,605,227
- --------------------------------------------------------------------------------
$ 6,605,227
- --------------------------------------------------------------------------------
Health Care - Equipment & Supplies -- 2.0%
- --------------------------------------------------------------------------------
Circon Corporation(3)
$ 2,388,527 Term Loan, Maturing October 31, 2006 $ 2,241,795
Conmed Corporation
4,715,070 Term Loan, Maturing December 31, 2007 4,771,062
Dade Behring Holdings, Inc.
4,710,212 Term Loan, Maturing October 3, 2008 4,757,314
Fisher Scientific International, LLC
11,565,390 Term Loan, Maturing March 31, 2010 11,677,791
Hanger Orthopedic Group, Inc.
1,000,000 Term Loan, Maturing September 30, 2009 1,010,000
Kinetic Concepts, Inc.
7,481,250 Term Loan, Maturing August 11, 2010 7,549,053
Leiner Health Products Inc.
774,392 Term Loan, Maturing March 31, 2004 770,520
Quintiles Transnational Corp.
7,000,000 Term Loan, Maturing September 25, 2009 7,061,250
Sybron Dental Management
5,310,688 Term Loan, Maturing June 6, 2009 5,341,888
- --------------------------------------------------------------------------------
$ 45,180,673
- --------------------------------------------------------------------------------
Health Care - Providers & Services -- 5.5%
- --------------------------------------------------------------------------------
Alaris Medical Systems, Inc.
$10,247,183 Term Loan, Maturing June 30, 2009 $ 10,365,026
Alliance Imaging, Inc.
8,951,049 Term Loan, Maturing June 10, 2008 8,886,718
Amerisource Bergen Corporation
10,400,000 Term Loan, Maturing March 31, 2005 10,400,000
AMN Healthcare, Inc.
1,750,000 Term Loan, Maturing October 2, 2008 1,767,500
Caremark RX, Inc.
3,664,064 Term Loan, Maturing March 31, 2006 3,685,821
Community Health Systems, Inc.
16,377,444 Term Loan, Maturing July 5, 2010 16,527,624
Concentra Operating Corporation
7,980,000 Term Loan, Maturing June 30, 2009 8,064,788
Cross Country Healthcare, Inc.
2,850,000 Term Loan, Maturing June 5, 2009 2,885,625
DaVita, Inc.
18,100,352 Term Loan, Maturing March 31, 2009 18,266,278
Express Scripts, Inc.
5,500,000 Term Loan, Maturing March 31, 2008 5,549,110
Fresenius Medical Care Holdings, Inc.
10,573,500 Term Loan, Maturing February 21, 2010 10,679,235
Magellan Health Services, Inc.
1,485,350 Term Loan, Maturing February 12, 2005 1,481,636
1,485,350 Term Loan, Maturing February 12, 2006 1,479,160
Medco Health Solutions, Inc.
9,750,000 Term Loan, Maturing June 30, 2010 9,864,260
Team Health
2,379,015 Term Loan, Maturing October 31, 2007 2,342,587
1,903,796 Term Loan, Maturing October 31, 2008 1,895,467
Triad Hospitals Holdings, Inc.
7,017,277 Term Loan, Maturing March 31, 2008 7,075,752
- --------------------------------------------------------------------------------
$ 121,216,587
- --------------------------------------------------------------------------------
Hotels -- 0.7%
- --------------------------------------------------------------------------------
Extended Stay America
$ 1,008,957 Term Loan, Maturing December 31, 2006 $ 1,015,894
1,491,043 Term Loan, Maturing June 30, 2007 1,501,294
6,839,556 Term Loan, Maturing December 31, 2007 6,913,081
Vail Resorts, Inc.
3,982,494 Term Loan, Maturing December 10, 2008 4,024,808
Wyndham International, Inc.
1,948,804 Term Loan, Maturing June 30, 2006 1,796,552
- --------------------------------------------------------------------------------
$ 15,251,629
- --------------------------------------------------------------------------------
Household Furnishings & Appliances -- 0.6%
- --------------------------------------------------------------------------------
Goodman Manufacturing Company, L.P.
$ 223,174 Term Loan, Maturing September 30, 2004 $ 222,965
417,594 Term Loan, Maturing April 9, 2004 417,203
1,118,781 Term Loan, Maturing July 31, 2005 1,122,277
Sealy Mattress Company
1,266,247 Term Loan, Maturing December 15, 2004 1,268,146
1,804,343 Term Loan, Maturing December 15, 2005 1,807,050
2,197,066 Term Loan, Maturing December 15, 2006 2,200,362
Simmons Company
409,993 Term Loan, Maturing October 30, 2005 411,829
939,273 Term Loan, Maturing October 30, 2006 944,322
Tempur-Pedic, Inc.
4,887,750 Term Loan, Maturing June 30, 2009 4,909,134
- --------------------------------------------------------------------------------
$ 13,303,288
- --------------------------------------------------------------------------------
Household Products -- 1.6%
- --------------------------------------------------------------------------------
Central Garden & Pet Company
$ 3,990,000 Term Loan, Maturing May 19, 2009 $ 4,013,693
Church & Dwight Co. Inc.
4,074,681 Term Loan, Maturing September 30, 2007 4,126,634
Rayovac Corporation
6,363,766 Term Loan, Maturing September 30, 2009 6,388,954
The Scotts Company
12,975,012 Term Loan, Maturing September 30, 2010 13,149,941
United Industries Corporation
4,491,731 Term Loan, Maturing January 20, 2006 4,525,418
Werner Holding Co.
4,000,000 Term Loan, Maturing June 11, 2009 3,765,000
- --------------------------------------------------------------------------------
$ 35,969,640
- --------------------------------------------------------------------------------
Insurance -- 1.2%
- --------------------------------------------------------------------------------
Hilb, Rogal & Hobbs Company
$10,581,307 Term Loan, Maturing June 30, 2007 $ 10,693,733
Infinity Property and Casualty Corporation
6,932,500 Term Loan, Maturing June 30, 2010 6,993,159
U.S.I. Holdings Corporation
5,985,000 Term Loan, Maturing August 11, 2008 6,029,888
Willis Corroon Corporation
3,311,848 Term Loan, Maturing February 5, 2005 3,195,934
- --------------------------------------------------------------------------------
$ 26,912,714
- --------------------------------------------------------------------------------
Leisure -- 0.6%
- --------------------------------------------------------------------------------
New England Sports Ventures, LLC
$14,000,000 Term Loan, Maturing February 28, 2005 $ 14,000,000
- --------------------------------------------------------------------------------
$ 14,000,000
- --------------------------------------------------------------------------------
Machinery -- 1.2%
- --------------------------------------------------------------------------------
Colfax Corporation
$ 2,461,287 Term Loan, Maturing May 30, 2009 $ 2,473,594
Flowserve Corporation
2,014,663 Term Loan, Maturing June 30, 2007 2,022,849
5,089,008 Term Loan, Maturing June 30, 2009 5,130,809
Rexnord Corporation
2,896,250 Term Loan, Maturing November 30, 2009 2,918,424
The Manitowoc Company
6,549,250 Term Loan, Maturing June 30, 2007 6,584,046
Thermadyne Holdings Corporation
6,540,039 Term Loan, Maturing March 31, 2008 6,425,588
- --------------------------------------------------------------------------------
$ 25,555,310
- --------------------------------------------------------------------------------
Manufacturing -- 3.7%
- --------------------------------------------------------------------------------
Advanced Glassfiber Yarns LLC
$ 2,972,806 Term Loan, Maturing September 30, 2005(2)(3) $ 1,426,947
AMSCAN Holdings, Inc.
1,990,000 Term Loan, Maturing June 15, 2007 2,001,608
Amsted Industries Incorporated
11,870,250 Term Loan, Maturing October 15, 2010 11,946,908
Citation Corporation
995,002 Term Loan, Maturing December 1, 2007 780,455
Dresser, Inc.
505,571 Term Loan, Maturing March 31, 2007 510,718
Ingram Industries, Inc.
4,177,397 Term Loan, Maturing June 30, 2008 4,208,728
JohnsonDiversey, Inc.
1,343,222 Term Loan, Maturing November 30, 2008 1,346,790
6,036,636 Term Loan, Maturing November 30, 2009 6,093,230
Motor Coach Industries
2,375,813 Term Loan, Maturing June 15, 2006 1,956,086
Mueller Group, Inc.
7,181,769 Term Loan, Maturing May 31, 2008 7,207,415
National Waterworks, Inc.
4,948,980 Term Loan, Maturing November 22, 2009 4,990,427
Polypore Incorporated
4,081,988 Term Loan, Maturing December 31, 2006 4,122,808
1,477,500 Term Loan, Maturing December 31, 2007 1,491,659
SPX Corporation
19,428,286 Term Loan, Maturing September 30, 2009 19,598,284
Synthetic Industries, Inc.
2,453,037 Term Loan, Maturing December 30, 2007 2,146,407
Trimas Corporation
7,920,100 Term Loan, Maturing December 31, 2009 7,941,222
Walter Industries, Inc.
4,750,000 Term Loan, Maturing April 17, 2010 4,772,268
- --------------------------------------------------------------------------------
$ 82,541,960
- --------------------------------------------------------------------------------
Metals & Mining -- 0.3%
- --------------------------------------------------------------------------------
Compass Minerals Group, Inc.
$ 3,738,032 Term Loan, Maturing November 28, 2009 $ 3,770,740
Steel Dynamics, Inc.
985,000 Term Loan, Maturing March 26, 2008 992,849
Stillwater Mining Company
2,384,985 Term Loan, Maturing June 30, 2007 2,384,985
- --------------------------------------------------------------------------------
$ 7,148,574
- --------------------------------------------------------------------------------
Miscellaneous -- 0.7%
- --------------------------------------------------------------------------------
Laidlaw International, Inc.
$ 9,840,000 Term Loan, Maturing June 19, 2009 $ 9,939,935
Weight Watchers International, Inc.
4,420,070 Term Loan, Maturing December 31, 2009 4,456,535
567,430 Term Loan, Maturing December 31, 2010 572,218
- --------------------------------------------------------------------------------
$ 14,968,688
- --------------------------------------------------------------------------------
Office Equipment & Supplies -- 0.8%
- --------------------------------------------------------------------------------
General Binding Corporation
$ 2,250,000 Term Loan, Maturing January 15, 2008 $2,250,000
Global Imaging Systems, Inc.
1,745,625 Term Loan, Maturing June 25, 2009 1,763,081
Iron Mountain Incorporated
8,466,998 Term Loan, Maturing February 15, 2008 8,536,546
Xerox Corporation
5,500,000 Term Loan, Maturing September 30, 2008 5,543,830
- --------------------------------------------------------------------------------
$ 18,093,457
- --------------------------------------------------------------------------------
Oil & Gas -- 2.1%
- --------------------------------------------------------------------------------
Citgo Petroleum Company
$ 6,000,000 Term Loan, Maturing February 27, 2006 $ 6,240,000
Columbia Natural Resources, LLC
5,625,000 Revolving Loan, Maturing August 28, 2008 5,610,938
Cumberland Farms, Inc.
6,232,942 Term Loan, Maturing September 8, 2008 6,264,107
Magellan Midstream Partners, L.P.
1,000,000 Term Loan, Maturing August 6, 2008 1,007,500
Sprague Energy Corp.
6,188,333 Revolving Loan, Maturing August 10, 2007 6,172,862
The Premcor Refining Group, Inc.
10,000,000 Term Loan, Maturing February 11, 2006 10,109,380
WEG Acquisition, L.P.
2,500,000 Term Loan, Maturing June 17, 2008 2,526,563
Williams Production RMT Company
8,354,063 Term Loan, Maturing May 30, 2007 8,442,824
- --------------------------------------------------------------------------------
$ 46,374,174
- --------------------------------------------------------------------------------
Paper & Forest Products -- 0.0%
- --------------------------------------------------------------------------------
Appleton Papers, Inc.
$ 892,127 Term Loan, Maturing November 8, 2006 $ 897,517
- --------------------------------------------------------------------------------
$ 897,517
- --------------------------------------------------------------------------------
Personal Products -- 1.0%
- --------------------------------------------------------------------------------
Armkel, LLC
$ 4,601,231 Term Loan, Maturing March 31, 2009 $ 4,644,367
Mary Kay Cosmetics, Inc.
4,390,821 Term Loan, Maturing September 30, 2007 4,416,432
Playtex Products, Inc.
13,689,724 Term Loan, Maturing May 31, 2009 13,685,451
- --------------------------------------------------------------------------------
$ 22,746,250
- --------------------------------------------------------------------------------
Publishing & Printing -- 5.9%
- --------------------------------------------------------------------------------
American Media Operations Inc.
$ 1,488,550 Term Loan, Maturing April 1, 2007 $ 1,499,528
5,292,741 Term Loan, Maturing April 1, 2008 5,337,730
CBD Media LLC
1,982,500 Term Loan, Maturing December 31, 2009 1,999,020
Dex Media East, LLC
8,500,000 Term Loan, Maturing November 8, 2008 8,544,268
4,082,927 Term Loan, Maturing November 8, 2009 4,141,256
Dex Media West, LLC
6,778,951 Term Loan, Maturing September 9, 2009 6,831,203
14,500,483 Term Loan, Maturing March 9, 2010 14,657,567
Hollinger International Publishing, Inc.
7,612,443 Term Loan, Maturing September 30, 2009 7,736,146
Journal Register Company
10,894,235 Term Loan, Maturing September 30, 2006 10,812,528
Liberty Group Operating, Inc.
3,622,388 Term Loan, Maturing April 30, 2007 3,654,084
Merrill Corporation
2,883,218 Term Loan, Maturing November 15, 2006 2,883,218
3,948,546 Term Loan, Maturing November 15, 2007 3,948,546
Moore Holdings U.S.A. Inc.
6,583,500 Term Loan, Maturing March 15, 2010 6,626,708
Morris Publishing Group, LLC
9,200,000 Term Loan, Maturing March 31, 2011 9,286,250
R.H. Donnelley Inc.
1,343,437 Term Loan, Maturing December 31, 2008 1,356,592
5,947,557 Term Loan, Maturing June 30, 2010 6,060,727
Sun Media Corporation
4,118,185 Term Loan, Maturing February 7, 2009 4,138,776
The McClatchy Company
7,638,562 Term Loan, Maturing September 10, 2007 7,675,563
The Reader's Digest Association, Inc.
4,564,786 Term Loan, Maturing May 20, 2008 4,565,603
Transwestern Publishing Company LLC
6,186,246 Term Loan, Maturing June 27, 2008 6,229,741
Yell Group, PLC
13,000,000 Term Loan, Maturing July 8, 2008 12,971,569
- --------------------------------------------------------------------------------
$ 130,956,623
- --------------------------------------------------------------------------------
Real Estate -- 3.5%
- --------------------------------------------------------------------------------
AGBRI Octagon
$ 2,406,762 Term Loan, Maturing May 31, 2004 $ 2,388,711
AIMCO Properties, L.P.
3,351,683 Term Loan, Maturing February 28, 2004 3,376,821
10,000,000 Term Loan, Maturing May 30, 2008 10,106,250
AP-Knight L.P.
3,216,377 Term Loan, Maturing December 31, 2004 3,212,356
Concordia Properties, LLC
3,000,000 Term Loan, Maturing January 31, 2006 3,007,500
Crescent Real Estate Equities, L.P.
6,375,000 Term Loan, Maturing May 31, 2005 6,363,047
Fairfield Resorts, Inc.
1,227,273 Revolving Loan, Maturing March 21, 2006 1,221,136
3,750,000 Term Loan, Maturing March 21, 2006 3,731,250
Istar Financial, Inc.
7,500,000 Term Loan, Maturing July 24, 2006 7,481,250
Lennar Corporation
2,475,000 Term Loan, Maturing May 2, 2007 2,483,353
Macerich Partnership, L.P.
3,542,400 Term Loan, Maturing July 15, 2005 3,553,470
Newkirk Master, L.P.
4,430,380 Term Loan, Maturing December 31, 2004 4,430,380
OLY Hightop Parent
1,919,762 Term Loan, Maturing March 31, 2006 1,924,561
Shelbourne Properties, L.P.
1,715,757 Term Loan, Maturing February 19, 2006 1,713,612
The Woodlands Commercial Properties Co., L.P.
2,850,000 Term Loan, Maturing November 26, 2005 2,867,813
Tower Financing I, LLC
7,000,000 Term Loan, Maturing July 9, 2008 7,008,750
Trizec Properties, Inc.
8,000,000 Term Loan, Maturing May 29, 2005 7,980,000
Wilmorite Holdings, L.P.
4,508,000 Term Loan, Maturing March 31, 2006 4,530,540
- --------------------------------------------------------------------------------
$ 77,380,800
- --------------------------------------------------------------------------------
Restaurants -- 0.7%
- --------------------------------------------------------------------------------
AFC Enterprises Inc.
$ 4,211,776 Term Loan, Maturing May 23, 2009 $ 4,209,670
Buffets, Inc.
7,545,875 Term Loan, Maturing June 30, 2009 7,574,172
Jack in the Box, Inc.
1,985,000 Term Loan, Maturing July 22, 2007 1,999,888
O'Charley's Inc.
2,090,000 Term Loan, Maturing January 27, 2009 2,095,225
- --------------------------------------------------------------------------------
$ 15,878,955
- --------------------------------------------------------------------------------
Retail - Food & Drug -- 2.9%
- --------------------------------------------------------------------------------
Domino's Inc.
$13,381,412 Term Loan, Maturing June 25, 2010 $ 13,526,372
Fleming Companies, Inc.
4,993,206 Revolving Loan, Maturing June 18, 2008 4,922,467
3,364,968 Term Loan, Maturing June 18, 2008 3,313,444
Giant Eagle, Inc.
7,225,963 Term Loan, Maturing August 6, 2009 7,268,112
Rite Aid Corporation
19,750,000 Term Loan, Maturing April 30, 2008 20,058,594
Roundy's, Inc.
8,398,712 Term Loan, Maturing June 6, 2009 8,440,706
The Pantry, Inc.
6,940,711 Term Loan, Maturing March 31, 2007 7,023,132
- --------------------------------------------------------------------------------
$ 64,552,827
- --------------------------------------------------------------------------------
Retail - Multiline -- 0.7%
- --------------------------------------------------------------------------------
Kmart Corporation
$ 9,500,000 Term Loan, Maturing May 6, 2006 $ 9,559,375
Rent-A-Center, Inc.
5,630,875 Term Loan, Maturing May 28, 2009 5,691,581
- --------------------------------------------------------------------------------
$ 15,250,956
- --------------------------------------------------------------------------------
Retail - Specialty -- 1.5%
- --------------------------------------------------------------------------------
Advance Stores Company, Inc.
$ 928,201 Term Loan, Maturing November 30, 2006 $ 935,162
5,350,906 Term Loan, Maturing November 30, 2007 5,402,330
Charming Shoppes, Inc.(3)
99,771 Revolving Loan, Maturing August 31, 2004 99,771
CSK Auto, Inc.
5,500,000 Term Loan, Maturing June 20, 2009 5,553,284
Jo-Ann Stores, Inc.
3,000,000 Term Loan, Maturing April 30, 2005 2,985,000
Oriental Trading Company
8,640,625 Term Loan, Maturing August 4, 2010 8,727,031
Petco Animal Supplies Inc.
2,749,544 Term Loan, Maturing October 2, 2008 2,783,914
Travelcenters of America, Inc.
7,305,757 Term Loan, Maturing November 30, 2008 7,351,417
- --------------------------------------------------------------------------------
$ 33,837,909
- --------------------------------------------------------------------------------
Road & Rail -- 0.5%
- --------------------------------------------------------------------------------
Kansas City Southern Industries, Inc.
$ 910,963 Term Loan, Maturing June 12, 2008 $ 914,867
RailAmerica Inc.
9,801,636 Term Loan, Maturing May 31, 2009 9,875,149
- --------------------------------------------------------------------------------
$ 10,790,016
- --------------------------------------------------------------------------------
Semiconductor Equipment & Products -- 0.6%
- --------------------------------------------------------------------------------
AMI Semiconductor
$ 5,000,000 Term Loan, Maturing September 30, 2008 $ 5,053,125
Fairchild Semiconductor Corporation
8,728,125 Term Loan, Maturing June 19, 2008 8,799,041
- --------------------------------------------------------------------------------
$ 13,852,166
- --------------------------------------------------------------------------------
Telecommunications - Wireline -- 1.4%
- --------------------------------------------------------------------------------
Broadwing Inc.
$ 567,150 Revolving Loan, Maturing December 31, 2004 $ 559,352
276,870 Term Loan, Maturing December 31, 2004 279,293
2,025,445 Term Loan, Maturing December 31, 2005 2,045,880
2,727,549 Term Loan, Maturing December 31, 2006 2,751,756
Fairpoint Communications, Inc.
4,909,794 Term Loan, Maturing March 31, 2007 4,934,343
Qwest Corporation
19,290,000 Term Loan, Maturing June 4, 2007 19,856,644
- --------------------------------------------------------------------------------
$ 30,427,268
- --------------------------------------------------------------------------------
Telecommunications - Wireless -- 2.6%
- --------------------------------------------------------------------------------
American Tower, L.P.
$ 2,423,393 Term Loan, Maturing December 31, 2006 $ 2,423,764
2,857,955 Term Loan, Maturing December 31, 2007 2,883,448
Cricket Communications, Inc.
1,500,000 Term Loan, Maturing June 30, 2007(2) 783,750
Crown Castle Operating Company
15,500,000 Term Loan, Maturing September 15, 2007 15,659,852
Dobson Cellular Systems, Inc.
11,000,000 Term Loan, Maturing March 31, 2010 11,151,250
Nextel Communications, Inc.
2,976,212 Term Loan, Maturing June 30, 2008 2,990,695
2,976,212 Term Loan, Maturing December 30, 2008 2,990,695
9,900,069 Term Loan, Maturing March 31, 2009 9,952,420
Pinnacle Towers, Inc.
2,000,000 Term Loan, Maturing October 31, 2005 1,997,916
Spectrasite Communications, Inc.
3,741,809 Term Loan, Maturing December 31, 2007 3,783,904
Western Wireless
1,000,000 Term Loan, Maturing April 25, 2007 966,250
195,000 Term Loan, Maturing September 30, 2007 189,564
2,433,842 Term Loan, Maturing September 30, 2008 2,428,264
Winstar Communications, Inc.
225,401 DIP Loan, Maturing June 30, 2004(2) 56,350
- --------------------------------------------------------------------------------
$ 58,258,122
- --------------------------------------------------------------------------------
Textiles & Apparel -- 0.2%
- --------------------------------------------------------------------------------
St. John Knits International, Inc.
$ 3,700,284 Term Loan, Maturing July 31, 2007 $ 3,711,848
- --------------------------------------------------------------------------------
$ 3,711,848
- --------------------------------------------------------------------------------
Theaters -- 1.2%
- --------------------------------------------------------------------------------
Cinemark USA, Inc.
$ 7,730,625 Term Loan, Maturing March 31, 2009 $ 7,819,203
Loews Cineplex Entertainment Corporation
3,566,291 Term Loan, Maturing September 30, 2006 3,582,636
1,790,909 Term Loan, Maturing May 31, 2008 1,790,908
2,931,818 Term Loan, Maturing May 31, 2009 2,931,818
Regal Cinemas Inc.
10,488,061 Term Loan, Maturing June 30, 2009 10,600,588
- --------------------------------------------------------------------------------
$ 26,725,153
- --------------------------------------------------------------------------------
Utility -- 1.1%
- --------------------------------------------------------------------------------
CenterPoint Energy, Inc.
$15,000,000 Term Loan, Maturing October 7, 2006 $ 15,133,590
Michigan Electric Transmission Company, LLC
4,443,750 Term Loan, Maturing June 30, 2007 4,466,893
Pacific Energy Group, LLC
4,000,000 Term Loan, Maturing July 26, 2009 4,028,752
- --------------------------------------------------------------------------------
$ 23,629,235
- --------------------------------------------------------------------------------
Total Senior Floating Rate Interests
(identified cost, $1,789,817,952) $1,790,943,997
- --------------------------------------------------------------------------------
Corporate Bonds & Notes -- 0.5%
Principal
Amount
(000's omitted) Security Value
- --------------------------------------------------------------------------------
Broadcasting and Cable -- 0.2%
- --------------------------------------------------------------------------------
Echostar DBS Corp.
$ 5,000 4.41%, 10/1/08 $ 5,162,500
- --------------------------------------------------------------------------------
$ 5,162,500
- --------------------------------------------------------------------------------
Business Machines - Miscellaneous -- 0.3%
- --------------------------------------------------------------------------------
Advanstar Communications
$ 6,000 8.63%, 8/15/08 $ 6,270,000
- --------------------------------------------------------------------------------
$ 6,270,000
- --------------------------------------------------------------------------------
Total Corporate Bonds & Notes
(identified cost $11,000,000) $ 11,432,500
- --------------------------------------------------------------------------------
Common Stocks, Preferred Stocks
and Warrants -- 0.2%
Shares Security Value
- --------------------------------------------------------------------------------
282,096 Thermadyne Holdings Corp. $ 3,689,816
350 Hayes Lemmerz International, Inc.,
Preferred, Series A(3) 17,500
105,145 Hayes Lemmerz International, Inc.,
Common 1,713,863
25 Knowledge Universe Inc.(3) 25,000
- --------------------------------------------------------------------------------
Total Common Stocks, Preferred Stocks
and Warrants
(identified cost, $4,055,957) $ 5,446,179
- --------------------------------------------------------------------------------
Commercial Paper -- 15.0%
Principal
Amount
(000's omitted) Security Value
- --------------------------------------------------------------------------------
American Express Credit Corp.
$ 40,000 1.03%, 11/3/03 $ 39,996,566
American Honda Financial
25,000 1.05%, 11/5/03 24,996,354
Barton Capital Corp.
40,000 1.05%, 11/10/03 39,988,333
Cafco LLC
37,500 1.04%, 11/3/03 37,496,750
Cortez Capital Corp.
30,000 1.06%, 11/18/03 29,984,100
CRC Funding
25,000 1.05%, 11/3/03 24,997,813
General Electric Capital
40,000 1.05%, 12/2/03 39,962,667
Kittyhawk Funding
28,862 1.06%, 11/20/03 28,845,004
Midstate Corp. Federal Credit
20,000 1.05%, 11/21/03 19,987,750
Receivables Capital Corp.
30,000 1.06%, 11/24/03 29,978,800
Transamerica Finance
15,749 1.06%, 11/21/03 15,739,262
- --------------------------------------------------------------------------------
Total Commercial Paper
(at amortized cost $331,973,399) $ 331,973,399
- --------------------------------------------------------------------------------
Short-Term Investments -- 2.3%
Principal
Amount
(000's omitted) Security Value
- --------------------------------------------------------------------------------
Investors Bank & Trust Company Time Deposit
$ 52,118 1.08%, 11/3/03 $ 52,118,000
- --------------------------------------------------------------------------------
Total Short-Term Investments
(at amortized cost, $52,118,000) $ 52,118,000
- --------------------------------------------------------------------------------
Total Investments -- 98.8%
(identified cost $2,188,965,308) $2,191,914,075
- --------------------------------------------------------------------------------
Other Assets, Less Liabilities -- 1.2% $ 25,959,972
- --------------------------------------------------------------------------------
Net Assets -- 100% $2,217,874,047
- --------------------------------------------------------------------------------
(1) Senior floating rate interests often require prepayments from excess cash
flows or permit the borrower to repay at its election. The degree to which
borrowers repay, whether as a contractual requirement or at their
election, cannot be predicted with accuracy. As a result, the actual
remaining maturity may be substantially less than the stated maturities
shown. However, it is anticipated that the senior floating rate interests
will have an expected average life of approximately two to four years.
(2) Non-income producing security.
(3) Security valued at fair value using methods determined in good faith by or
at the direction of the Trustees.
Note: At October 31, 2003, the Portfolio had unfunded commitments amounting to
$51,444,002 under various revolving credit agreements.
See notes to financial statements
Floating Rate Portfolio as of October 31, 2003
FINANCIAL STATEMENTS
Statement of Assets and Liabilities
As of October 31, 2003
Assets
- -------------------------------------------------------------------------------
Investments, at value
(identified cost, $2,188,965,308) $2,191,914,075
Cash 21,416,671
Interest receivable 4,450,255
Prepaid expenses 214,721
- -------------------------------------------------------------------------------
Total assets $2,217,995,722
- -------------------------------------------------------------------------------
Liabilities
- -------------------------------------------------------------------------------
Payable to affiliate for Trustees' fees $2,910
Accrued expenses 118,765
- -------------------------------------------------------------------------------
Total liabilities $121,675
- -------------------------------------------------------------------------------
Net Assets applicable to investors' interest in Portfolio $2,217,874,047
Sources of Net Assets
- -------------------------------------------------------------------------------
Net proceeds from capital contributions and withdrawals $2,214,925,280
Net unrealized appreciation (computed on the
basis of identified cost) 2,948,767
- -------------------------------------------------------------------------------
Total $2,217,874,047
- -------------------------------------------------------------------------------
See notes to financial statements
Floating Rate Portfolio as of October 31, 2003
FINANCIAL STATEMENTS
Statement of Operations
For the Year Ended
October 31, 2003
Investment Income
- -------------------------------------------------------------------------------
Interest $ 68,476,543
- -------------------------------------------------------------------------------
Total investment income $ 68,476,543
- -------------------------------------------------------------------------------
Expenses
- -------------------------------------------------------------------------------
Investment adviser fee $ 8,213,946
Custodian fee 295,095
Legal and accounting services 182,925
Miscellaneous 222,110
- -------------------------------------------------------------------------------
Total expenses $ 8,914,076
- -------------------------------------------------------------------------------
Net investment income $ 59,562,467
- -------------------------------------------------------------------------------
Realized and Unrealized Gain (Loss)
- -------------------------------------------------------------------------------
Net realized gain (loss) --
Investment transactions (identified cost basis) $ (12,285,162)
Interest rate swap contracts (1,345,598)
- -------------------------------------------------------------------------------
Net realized loss $ (13,630,760)
- -------------------------------------------------------------------------------
Change in unrealized appreciation (depreciation) --
Investments (identified cost basis) $ 50,129,765
Interest rate swap contracts 1,376,803
- -------------------------------------------------------------------------------
Net change in unrealized appreciation (depreciation) $ 51,506,568
- -------------------------------------------------------------------------------
Net realized and unrealized gain $ 37,875,808
- -------------------------------------------------------------------------------
Net increase in net assets from operations $ 97,438,275
- -------------------------------------------------------------------------------
See notes to financial statements
Floating Rate Portfolio as of October 31, 2003
FINANCIAL STATEMENTS CONT'D
Statements of Changes in Net Assets
Increase (Decrease) Year Ended Year Ended
in Net Assets October 31, 2003 October 31, 2002
- -----------------------------------------------------------------------------------------------------
From operations --
Net investment income $59,562,467 $67,349,097
Net realized loss (13,630,760) (14,790,884)
Net change in unrealized appreciation
(depreciation) 51,506,568 (23,057,472)
- -----------------------------------------------------------------------------------------------------
Net increase in net assets from operations $97,438,275 $29,500,741
- -----------------------------------------------------------------------------------------------------
Capital transactions --
Contributions $1,296,513,630 $489,824,603
Withdrawals (502,206,079) (580,925,153)
- -----------------------------------------------------------------------------------------------------
Net increase (decrease) in
net assets from
capital transactions $794,307,551 $(91,100,550)
- -----------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets $891,745,826 $(61,599,809)
- -----------------------------------------------------------------------------------------------------
Net Assets
- -----------------------------------------------------------------------------------------------------
At beginning of year $1,326,128,221 $1,387,728,030
- -----------------------------------------------------------------------------------------------------
At end of year $2,217,874,047 $1,326,128,221
- -----------------------------------------------------------------------------------------------------
Floating Rate Portfolio as of October 31, 2003
FINANCIAL STATEMENTS CONT'D
Supplementary Data
Year Ended October 31,
----------------------------------------------------------------------------
Ratios/Supplementary Data+ 2003 2002 2001 2000(1)
- ----------------------------------------------------------------------------------------------------------------------------------
Ratios (As a percentage of average daily net assets):
Net expenses 0.61% 0.62% 0.57% 0.04%(3)
Net investment income 4.05% 4.72% 6.45% 8.49%(3)
Portfolio Turnover 64% 76% 52% 3%
- ----------------------------------------------------------------------------------------------------------------------------------
Total Return(2) 6.91% 2.19% -- --
- ----------------------------------------------------------------------------------------------------------------------------------
Net assets, end of year (000's omitted) $2,217,874 $1,326,128 $1,387,728 $145,896
- ----------------------------------------------------------------------------------------------------------------------------------
+ The operating expenses of the Portfolio may reflect a reduction of the investment adviser fee and an allocation of expenses to
the Investment Adviser. Had such actions not been taken, the ratios would have been as follows:
Ratios (As a percentage of average daily net assets):
Expenses 0.61% 0.79%(3)
Net investment income 6.41% 7.74%(3)
- ----------------------------------------------------------------------------------------------------------------------------------
(1) For the period from the start of business, September 5, 2000, to October 31, 2000.
(2) Total return is required to be disclosed for the fiscal years beginning December 15, 2000.
(3) Annualized.
Floating Rate Portfolio as of October 31, 2003
NOTES TO FINANCIAL STATEMENTS
1 Significant Accounting Policies
- -------------------------------------------------------------------------------
Floating Rate Portfolio (the Portfolio) is registered under the Investment
Company Act of 1940 as a non-diversified open-end management investment
company. The Portfolio, which was organized as a trust under the laws of the
State of New York on June 19, 2000, seeks to provide a high level of current
income by investing primarily in senior floating rate loans. The Declaration
of Trust permits the Trustees to issue interests in the Portfolio. At
October 31, 2003, the Eaton Vance Floating-Rate Fund, Eaton Vance Floating-
Rate High Income Fund and Eaton Vance Medallion Floating-Rate Income Fund
held an approximate 72.3%, 21.8% and 3.0% interest in the Portfolio,
respectively. The following is a summary of significant accounting policies
of the Portfolio. The policies are in conformity with accounting principles
generally accepted in the United States of America.
A Investment Valuation -- The Portfolio's investments are in interests in
senior floating rate loans (Senior Loans). The Portfolio's investment
adviser, Boston Management and Research (BMR), a wholly-owned subsidiary of
Eaton Vance Management (EVM), has characterized certain Senior Loans as
liquid based on a predetermined acceptable number and range of market
quotations available. Such loans are valued on the basis of market
valuations furnished by a pricing service. Other Senior Loans are valued at
fair value by BMR under procedures established by the Trustees as permitted
by Section 2(a)(41) of the Investment Company Act of 1940. Such procedures
include the consideration of relevant factors, data and information relating
to fair value, including (i) the characteristics of and fundamental
analytical data relating to the Senior Loan, including the cost, size,
current interest rate, period until next interest rate reset, maturity and
base lending rate of the Senior Loan, the terms and conditions of the Senior
Loan and any related agreements, and the position of the Senior Loan in the
Borrower's debt structure; (ii) the nature, adequacy and value of the
collateral, including the Portfolio's rights, remedies and interests with
respect to the collateral; (iii) the creditworthiness of the Borrower, based
on an evaluation of its financial condition, financial statements and
information about the Borrower's business, cash flows, capital structure and
future prospects; (iv) information relating to the market for the Senior
Loan including price quotations for and trading in the Senior Loan, and
interests in similar Senior Loans and the market environment and investor
attitudes towards the Senior Loan and interests in similar Senior Loans; (v)
the experience, reputation, stability and financial condition of the Agent
and any intermediate participant in the Senior Loan; and (vi) general
economic and market conditions affecting the fair value of the Senior Loan.
Fair valued securities are marked daily as well. Non-loan Portfolio holdings
(other than short-term obligations, but including listed issues) may be
valued on the basis of prices furnished by one or more pricing services
which determine prices for normal, institutional-size trading units of such
securities using market information, transactions for comparable securities
and various relationships between securities which are generally recognized
by institutional traders. In certain circumstances, portfolio securities
will be valued at the last sale price on the exchange that is the primary
market for such securities, or the average of the last quoted bid price and
asked price for those securities for which the over-the-counter market is
the primary market or for listed securities in which there were no sales
during the day. Marketable securities listed in the NASDAQ National Market
System are valued at the NASDAQ official closing price. The value of
interest rate swaps will be based upon a dealer quotation. Short-term
obligations which mature in sixty days or less are valued at amortized cost,
if their original term to maturity when acquired by the Portfolio was 60
days or less or are valued at amortized cost using their value on the 61st
day prior to maturity, if their original term to maturity when acquired by
the Portfolio was more than 60 days, unless in each case this is determined
not to represent fair value. Repurchase agreements are valued at cost plus
accrued interest. Other portfolio securities for which there are no
quotations or valuations are valued at fair value as determined in good
faith by or on behalf of the Trustees.
B Income -- Interest income from Senior Loans is recorded on the accrual
basis at the then-current interest rate, while all other interest income is
determined on the basis of interest accrued, adjusted for amortization of
premium or discount when required. Facility fees received are recognized as
income over the expected term of the loan.
C Income Taxes -- The Portfolio has elected to be treated as a partnership
for federal tax purposes. No provision is made by the Portfolio for federal
or state taxes on any taxable income of the Portfolio because each investor
in the Portfolio is ultimately responsible for the payment of any taxes.
Since at least one of the Portfolio's investors is a regulated investment
company that invests all or substantially all of its assets in the
Portfolio, the Portfolio normally must satisfy the applicable source of
income and diversification requirements (under the Internal Revenue Code) in
order for its investors to satisfy them. The Portfolio will allocate at
least annually among its investors each investor's distributive share of the
Portfolio's net investment income, net realized capital gains, and any other
items of income, gain, loss, deduction or credit.
D Interest Rate Swaps -- The Portfolio may use interest rate swaps for risk
management purposes and not as a speculative investment. Pursuant to these
agreements the Portfolio receives quarterly payments at a rate equal to a
predetermined three-month LIBOR. In exchange, the Portfolio makes semi-
annual payments at a predetermined fixed rate of interest. During the term
of the outstanding swap agreement, changes in the underlying value of the
swap are recorded as unrealized gains and losses. The value of the swap is
determined by changes in the relationship between two rates of interest. The
Portfolio is exposed to credit loss in the event of non-performance by the
swap counterparty. The Portfolio does not anticipate non-performance by the
counterparty. Risk may also arise from the unanticipated movements in value
of interest rates.
E Expense Reduction -- Investors Bank & Trust (IBT) serves as custodian of
the Portfolio. Pursuant to the custodian agreement, IBT receives a fee
reduced by credits which are determined based on the average daily cash
balance the Portfolio maintains with IBT. All significant credit balances
used to reduce the Portfolio's custodian fees are reported as a reduction of
total expenses in the Statement of Operations.
F Use of Estimates -- The preparation of the financial statements in
conformity with accounting principles generally accepted in the United
States of America requires management to make estimates and assumptions that
affect the reported amounts of assets and liabilities at the date of the
financial statements and the reported amounts of income and expense during
the reporting period. Actual results could differ from those estimates.
G Other -- Investment transactions are accounted for on a trade date basis.
2 Investment Adviser Fee and Other Transactions with Affiliates
- -------------------------------------------------------------------------------
The investment adviser fee is earned by BMR as compensation for management
and investment advisory services rendered to the Portfolio. The fee is
equivalent to 0.575% of the Portfolio's average daily net assets up to $1
billion and at reduced rates as daily net assets exceed that level. For the
year ended October 31, 2003, the fee was equivalent to 0.558% of the
Portfolio's average net assets for such period and amounted to $8,213,946.
Except as to Trustees of the Portfolio who are not members of EVM's or BMR's
organization, officers and Trustees receive remuneration for their services
to the Portfolio out of such investment adviser fee. Trustees of the
Portfolio that are not affiliated with the Investment Adviser may elect to
defer receipt of all or a portion of their annual fees in accordance with
the terms of the Trustees Deferred Compensation Plan. For the year ended
October 31, 2003, no significant amounts have been deferred. Certain
officers and Trustees of the Portfolio are officers of the above
organizations.
3 Investments
- -------------------------------------------------------------------------------
The Portfolio invests primarily in Senior Loans. The ability of the issuers
of the Senior Loans to meet their obligations may be affected by economic
developments in a specific industry. The cost of purchases and the proceeds
from principal repayments and sales of investments for the year ended
October 31, 2003 aggregated $1,385,179,245, $589,096,135 and $214,706,663,
respectively.
4 Line of Credit
- -------------------------------------------------------------------------------
The Portfolio participates with other portfolios managed by BMR in a $500
million unsecured line of credit agreement with a group of banks to permit
the Portfolio to invest in accordance with its investment practices.
Interest is charged under the credit agreement at the bank's base rate or at
an amount above LIBOR. In addition, a fee computed at the annual rate of
0.10% of the daily unused portion of the line of credit is allocated among
the participating portfolios at the end of each quarter. As of October 31,
2003, the Portfolio had no borrowings outstanding. The Portfolio did not
have any significant borrowings or allocated fees during the year ended
October 31, 2003.
5 Federal Income Tax Unrealized Appreciation (Depreciation)
- -------------------------------------------------------------------------------
The cost and unrealized appreciation (depreciation) in the value of the
investments owned at October 31, 2003, as computed on a federal income tax
basis, were as follows:
Aggregate cost $2,188,990,159
-----------------------------------------------------------------------------
Gross unrealized appreciation $ 13,680,510
Gross unrealized depreciation (10,756,594)
-----------------------------------------------------------------------------
Net unrealized appreciation $ 2,923,916
-----------------------------------------------------------------------------
6 Financial Instruments
- -------------------------------------------------------------------------------
The Portfolio may trade in financial instruments with off-balance sheet risk
in the normal course of its investing activities and to assist in managing
exposure to various market risks. These financial instruments include
written options, financial futures contracts and interest rate swaps and may
involve, to a varying degree, elements of risk in excess of the amounts
recognized for financial statement purposes. The notional or contractual
amounts of these instruments represent the investment the Portfolio has in
particular classes of financial instruments and does not necessarily
represent the amounts potentially subject to risk. The measurement of the
risks associated with these instruments is meaningful only when all related
and offsetting transactions are considered.
The Portfolio did not have any open obligations under these financial
instruments at October 31, 2003.
7 Interestholder Meeting (Unaudited)
- --------------------------------------------------------------------------------
The Portfolio held a Special Meeting of Interestholders on June 6, 2003 to
elect Trustees. The results of the vote were as follows:
INTEREST IN THE PORTFOLIO
NOMINEE FOR TRUSTEE AFFIRMATIVE WITHHOLD
-----------------------------------------------------------------------------
Jessica M. Bibliowicz 99% 1%
Donald R. Dwight 99% 1%
James B. Hawkes 99% 1%
Samuel L. Hayes, III 99% 1%
William H. Park 99% 1%
Norton H. Reamer 99% 1%
Lynn A. Stout 99% 1%
Results are rounded to the nearest whole number. Donald R. Dwight retired as
a Trustee effective July 1, 2003 pursuant to the mandatory retirement policy
of the Portfolio.
Floating Rate Portfolio as of October 31, 2003
INDEPENDENT AUDITORS' REPORT
To the Trustees and Investors of
Floating Rate Portfolio:
- -------------------------------------------------------------------------------
To the Trustees and Investors of Floating Rate Portfolio:
We have audited the accompanying statement of assets and liabilities,
including the portfolio of investments, of Floating Rate Portfolio (the
Portfolio) as of October 31, 2003, and the related statement of operations for
the year then ended, the statements of changes in net assets for the two years
in the period then ended, and the supplementary data for each of the three
years then ended, and for the period from the start of business, September 5,
2000 to October 31, 2000. These financial statements and supplementary data
are the responsibility of the Portfolio's management. Our responsibility is to
express an opinion on these financial statements and supplementary data based
on our audits.
We conducted our audits in accordance with auditing standards generally
accepted in the United States of America. Those standards require that we plan
and perform the audit to obtain reasonable assurance about whether the
financial statements and supplementary data are free of material misstatement.
An audit includes examining, on a test basis, evidence supporting the amounts
and disclosures in the financial statements. Our procedures included
confirmation of securities and Senior Loans owned at October 31, 2003 by
correspondence with the custodian and selling or agent banks; where replies
were not received from selling or agent banks, we performed other auditing
procedures. An audit also includes assessing the accounting principles used
and significant estimates made by management, as well as evaluating the
overall financial statement presentation. We believe that our audits provide a
reasonable basis for our opinion.
In our opinion, such financial statements and supplementary data present
fairly, in all material respects, the financial position of the Floating Rate
Portfolio at October 31, 2003, the results of its operations, the changes in
its net assets and the supplementary data for the respective stated periods in
conformity with accounting principles generally accepted in the United States
of America.
DELOITTE & TOUCHE LLP
Boston, Massachusetts
December 16, 2003
Eaton Vance Floating-Rate High Income Fund as of October 31, 2003
MANAGEMENT AND ORGANIZATION
FUND MANAGEMENT. The Trustees of Eaton Vance Mutual Funds Trust (the Trust), Floating Rate Portfolio and High Income Portfolio
(the Portfolios) are responsible for the overall management and supervision of the Trust's and Portfolios' affairs. The Trustees
and officers of the Trust and the Portfolios are listed below. Except as indicated, each individual has held the office shown or
other offices in the same company for the last five years. Trustees and officers of the Trust and the Portfolios hold indefinite
terms of office. The "noninterested Trustees" consist of those Trustees who are not "interested persons" of the Trust, as that
term is defined under the 1940 Act. The business address of each Trustee and officer is The Eaton Vance Building, 255 State
Street, Boston, Massachusetts 02109. As used below, "EVC" refers to Eaton Vance Corp., "EV" refers to Eaton Vance, Inc., "EVM"
refers to Eaton Vance Management, "BMR" refers to Boston Management and Research and "EVD" refers to Eaton Vance Distributors,
Inc. EVC and EV are the corporate parent and trustee, respectively, of EVM and BMR. EVD is the Fund's principal underwriter, the
Portfolios' placement agent and a wholly-owned subsidiary of EVM.
Number of
Portfolios in
Position(s) with Term of Office Fund Complex Other
the Trust and and Length of Principal Occupation(s) During Overseen By Directorships
Name and Date of Birth the Portfolios Service Past Five Years Trustee(1) Held
- -----------------------------------------------------------------------------------------------------------------------------------
INTERESTED TRUSTEES
Jessica M. Bibliowicz Trustee Trustee of the Chairman, President and Chief 192
11/28/59 Trust and High Executive Officer of National
Income Portfolio Financial Partners (financial
since 1998; of services company) (since April
Floating Rate 1999). President and Chief
Portfolio since Operating Officer of John A.
2000 Levin & Co. (registered
investment adviser) (July 1997 to
April 1999) and a Director of
Baker, Fentress & Company, which
owns John A. Levin & Co. (July
1997 to April 1999). Ms.
Bibliowicz is an interested
person because of her affiliation
with a brokerage firm.
James B. Hawkes Trustee Trustee of the Chairman, President and Chief 194 Director of EVC
11/9/41 Trust since 1991; Executive Officer of BMR, EVC,
of Floating-Rate EVM and EV; Director of EV; Vice
Portfolio since President and Director of EVD.
2000; of High Trustee and/or officer of 194
Income Portfolio registered investment companies
since 1992 in the Eaton Vance Fund Complex.
Mr. Hawkes is an interested
person because of his positions
with BMR, EVM, EVC and EV, which
are affiliates of the Trust and
the Portfolios.
Eaton Vance Floating-Rate High Income Fund as of October 31, 2003
MANAGEMENT AND ORGANIZATION CONT'D
Number of
Portfolios in
Position(s) with Term of Office Fund Complex Other
the Trust and and Length of Principal Occupation(s) During Overseen By Directorships
Name and Date of Birth the Portfolios Service Past Five Years Trustee(1) Held
- -----------------------------------------------------------------------------------------------------------------------------------
NONINTERESTED TRUSTEE(s)
Samuel L. Hayes, III Trustee Trustee of the Jacob H. Schiff Professor of 194 Director of
2/23/35 Trust since 1986; Investment Banking Emeritus, Tiffany & Co.
of Floating Rate Harvard University Graduate (specialty
Portfolio since School of Business retailer) and
2000; of High Administration. Telect, Inc.
Income Portfolio (telecom-
since 1993 munication
services
company)
William H. Park Trustee Since 2003 President and Chief Executive 191 None
9/19/47 Officer, Prizm Capital
Management, LLC (investment
management firm) (since 2002).
Executive Vice President and
Chief Financial Officer, United
Asset Management Corporation (a
holding company owning
institutional investment
management firms) (1982-2001).
Ronald A. Pearlman Trustee Since 2003 Professor of Law, Georgetown 191 None
7/10/40 University Law Center (since
1999). Tax Partner Covington &
Burling, Washington, DC
(1991-2000).
Norton H. Reamer Trustee Trustee of the President and Chief Executive 194 None
9/21/35 Trust since 1986; Officer of Asset Management
of Floating Rate Finance Corp. (a specialty
Portfolio since finance company serving the
2000; of High investment management industry)
Income Portfolio (since October 2003). President,
since 1993 Unicorn Corporation (an
investment and financial advisory
services company) (since
September 2000). Formerly,
Chairman, Hellman, Jordan
Management Co., Inc. (an
investment management company)
(2000-2003). Formerly, Advisory
Director of Berkshire Capital
Corporation (investment banking
firm) (2002-2003). Formerly,
Chairman of the Board, United
Asset Management Corporation (a
holding company owning
institutional investment
management firms) and Chairman,
President and Director, UAM Funds
(mutual funds) (1980-2000).
Lynn A. Stout Trustee Trustee of the Professor of Law, University of 194 None
9/14/57 Trust and High California at Los Angeles School
Income Portfolio of Law (since July 2001).
since 1998; of Formerly, Professor of Law,
Floating Rate Georgetown University Law Center.
Portfolio since
2000
Eaton Vance Floating-Rate High Income Fund as of October 31, 2003
MANAGEMENT AND ORGANIZATION CONT'D
PRINCIPAL OFFICERS WHO ARE NOT TRUSTEES
Position(s) with Term of Office
the Trust and and Length of Principal Occupation(s) During
Name and Date of Birth the Portfolios Service Past Five Years
- -----------------------------------------------------------------------------------------------------------------------------------
Thomas E. Faust Jr. President of the Since 2002 Executive Vice President of EVM, BMR, EVC and EV; Chief
5/31/58 Trust Investment Officer of EVM and BMR and Director of EVC. Chief
Executive Officer of Belair Capital Fund LLC, Belcrest Capital
Fund LLC, Belmar Capital Fund LLC, Belport Capital Fund LLC and
Belrose Capital Fund LLC (private investment companies sponsored
by EVM). Officer of 53 registered investment companies managed
by EVM or BMR.
William H. Ahern, Jr. Vice President of Since 1995 Vice President of EVM and BMR. Officer of 35 registered
7/28/59 the Trust investment companies managed by EVM or BMR.
Thomas J. Fetter Vice President of Since 1997 Vice President of EVM and BMR. Trustee and President of The
8/20/43 the Trust Massachusetts Health & Education Tax-Exempt Trust. Officer of
127 registered investment companies managed by EVM or BMR.
Thomas P. Huggins Vice President of Since 2000 Vice President of EVM and BMR. Officer of 8 registered
3/7/66 High Income investment companies managed by EVM or BMR.
Portfolio
Michael R. Mach Vice President of Since 1999 Vice President of EVM and BMR. Previously, Managing Director and
7/14/47 the Trust Senior Analyst for Robertson Stephens (1998-1999). Officer of 25
registered investment companies managed by EVM or BMR.
Robert B. MacIntosh Vice President of Since 1998 Vice President of EVM and BMR. Officer of 127 registered
1/22/57 the Trust investment companies managed by EVM or BMR.
Scott H. Page Vice President of Since 2000 Vice President of EVM and BMR. Officer of 13 registered
11/30/59 Floating Rate investment companies managed by EVM or BMR.
Portfolio
Duncan W. Richardson Vice President of Since 2001 Senior Vice President and Chief Equity Investment Officer of EVM
10/26/57 the Trust and BMR. Officer of 41 registered investment companies managed
by EVM or BMR.
Walter A. Row, III Vice President of Since 2001 Director of Equity Research and a Vice President of EVM and BMR.
7/20/57 the Trust Officer of 22 registered investment companies managed by EVM or
BMR.
Judith A. Saryan Vice President of Since 2003 Vice President of EVM and BMR. Previously, Portfolio Manager and
8/21/54 the Trust Equity Analyst for State Street Global Advisers (1980-1999).
Officer of 24 registered investment companies managed by EVM or
BMR.
Susan Schiff Vice President of Since 2002 Vice President of EVM and BMR. Officer of 26 registered
3/31/61 the Trust investment companies managed by EVM or BMR.
Payson F. Swaffield President of Since 2002(2) Vice President of Eaton Vance and 13 registered investment
8/13/56 Floating Rate companies managed by EVM or BMR.
Portfolio
Michael W. Weilheimer President of High Since 2002(2) Vice President of EVM and BMR. Officer of 10 registered
2/11/61 Income Portfolio investment companies managed by EVM or BMR.
Alan R. Dynner Secretary Secretary of the Vice President, Secretary and Chief Legal Officer of BMR, EVM,
10/10/40 Trust and High EVD, EV and EVC. Officer of 194 registered investment companies
Income Portfolio managed by EVM or BMR.
since 1997; of
Floating Rate
Portfolio since
2000
Barbara E. Campbell Treasurer of the Since 2002(2) Vice President of EVM and BMR. Officer of 194 registered
6/19/57 Portfolios investment companies managed by EVM or BMR.
James L. O'Connor Treasurer of the Since 1989 Vice President of BMR, EVM and EVD. Officer of 115 registered
4/1/45 Trust investment companies managed by EVM or BMR.
(1) Includes both master and feeder funds in a master-feeder structure.
(2) Prior to 2002, Mr. Swaffield served as Vice President of Floating Rate Portfolio since 2000, Mr. Weilheimer served as Vice
President of High Income Portfolio since 1995 and Ms. Campbell served as Assistant Treasurer of Floating Rate Portfolio since
2000 and High Income Portfolio since 1993.
The SAI for the Fund includes additional information about the Trustees and
officers of the Fund and the Portfolios and can be obtained without charge by
calling 1-800-225-6265.
INVESTMENT ADVISER OF FLOATING RATE PORTFOLIO
BOSTON MANAGEMENT AND RESEARCH
The Eaton Vance Building
255 State Street
Boston, MA 02109
ADMINISTRATOR OF EATON VANCE FLOATING-RATE HIGH INCOME FUND
EATON VANCE MANAGEMENT
The Eaton Vance Building
255 State Street
Boston, MA 02109
PRINCIPAL UNDERWRITER
EATON VANCE DISTRIBUTORS, INC.
The Eaton Vance Building
255 State Street
Boston, MA 02109
(617) 482-8260
CUSTODIAN
INVESTORS BANK & Trust Company
200 Clarendon Street
Boston, MA 02116
TRANSFER AGENT
PFPC INC.
Attn: Eaton Vance Funds
P.O. Box 9653
Providence, RI 02940-9653
(800) 262-1122
INDEPENDENT AUDITORS
DELOITTE & Touche LLP
200 Berkeley Street
Boston, MA 02116-5022
EATON VANCE FLOATING-RATE HIGH INCOME FUND
THE EATON VANCE BUILDING
255 STATE STREET
BOSTON, MA 02109
- -------------------------------------------------------------------------------
This report must be preceded or accompanied by a current prospectus which
contains more complete information on the Fund, including its sales charges and
expenses. Please read the prospectus carefully before you invest or send money.
- -------------------------------------------------------------------------------
811-12/03 FRHSRC
ITEM 2. CODE OF ETHICS
The registrant has adopted a code of ethics applicable to its Principal
Executive Officer, Principal Financial Officer and Principal Accounting Officer.
The registrant undertakes to provide a copy of such code of ethics to any person
upon request, without charge, by calling 1-800-262-1122.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT
The registrant's Board has designated William H. Park, Samuel L. Hayes, III and
Norton H. Reamer, each an independent trustee, as its audit committee financial
experts. Mr. Park is a certified public accountant who is the President and
Chief Executive Officer of Prizm Capital Management, LLC (a fixed income
investment management firm). Previously, he served as Executive Vice President
and Chief Financial Officer of United Asset Management Corporation ("UAM") (a
holding company owning institutional investment management firms). Mr. Hayes is
the Jacob H. Schiff Professor of Investment Banking Emeritus of the Harvard
University Graduate School of Business Administration. Mr. Reamer is the
President of Unicorn Capital (an investment and financial advisory services
company), Chairman of Hellman, Jordan Management Co., Inc. (an investment
management company) and Advisory Director of Berkshire Capital Corporation (an
investment banking firm). Previously, Mr. Reamer was Chairman of the Board of
UAM and Chairman, President and Director of the UAM Funds (mutual funds).
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES
Not Required in Filing.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS
Not Required in Filing.
ITEM 6. [RESERVED]
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES
Not required in this filing.
ITEM 8. [RESERVED]
ITEM 9. CONTROLS AND PROCEDURES
(a) It is the conclusion of the registrant's principal executive officer and
principal financial officer that the effectiveness of the registrant's current
disclosure controls and procedures (such disclosure controls and procedures
having been evaluated within 90 days of the date of this filing) provide
reasonable assurance that the information required to be disclosed by the
registrant has been recorded, processed, summarized and reported within the time
period specified in the Commission's rules and forms and that the information
required to be disclosed by the registrant has been accumulated and communicated
to the registrant's principal executive officer and principal financial officer
in order to allow timely decisions regarding required disclosure.
(b) There have been no significant changes in the registrant's internal controls
or in other factors that could significantly affect these controls subsequent to
the date of their evaluation, including any corrective actions with regard to
significant deficiencies and material weaknesses.
ITEM 10. EXHIBITS
(a)(1) Registrant's Code of Ethics - Not applicable (please see Item 2).
(a)(2)(i) Treasurer's Section 302 certification. (a)(2)(ii) President's Section
302 certification.
(b) Combined Section 906 certification.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
EATON VANCE MUTUAL FUNDS TRUST
(On behalf of EATON VANCE FLOATING-RATE HIGH INCOME FUND)
By: /s/ Thomas E. Faust Jr.
------------------------
THOMAS E. FAUST JR.
President
Date: DECEMBER 16, 2003
-----------------------
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
By: /s/ James L. O'Connor
---------------------
JAMES L. O'CONNOR
Treasurer
Date: DECEMBER 16, 2003
-----------------------
By: /s/ Thomas E. Faust Jr.
-----------------------
THOMAS E. FAUST JR.
President
Date: DECEMBER 16, 2003
-----------------------